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Tail behavior of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

distributions of both risk factors are thin-tailed,the credit loss distribution may have a finite tail index (polynomial tails … loss. This unconventionalbehaviour of the credit loss density has not been reported earlier in theliterature. We also … derive analytically the interaction between portfolioquality and credit loss tail behavior and find a striking difference …

Persistent link: https://www.econbiz.de/10011316891

Modeling extreme events: time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020

We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...

Persistent link: https://www.econbiz.de/10012385032

Modeling extreme events : time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021

Persistent link: https://www.econbiz.de/10012429187

Modeling extreme events : timevarying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020

A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010-2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Generalized Pareto Distribution (GPD) for modeling...

Persistent link: https://www.econbiz.de/10012315434

Modeling extreme events : time-varying extreme tail shape

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917

Persistent link: https://www.econbiz.de/10015053506

Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting

Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633

Persistent link: https://www.econbiz.de/10012792858

Global loss diversification in the insurance sector

Sheremet, Oleg; Lucas, André - 2008

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In...

Persistent link: https://www.econbiz.de/10011377065

Explaining hedge fund investment styles by loss aversion

Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002

financial decisionmaking. In this paper we present a simple model based on loss aversion that can accommodatefor all of these …

Persistent link: https://www.econbiz.de/10011326964

The effect of shortfall as a risk measure for portfolios with hedge funds

Lucas, André; Siegmann, Adriaan Hendrik - In: Journal of business finance & accounting : JBFA 35 (2008) 1/2, pp. 200-226

Persistent link: https://www.econbiz.de/10003694555

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502