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Evaluating VaR forecasts under stress the German experience
Jaschke, Stefan R.; Stahl, Gerhard; Stehle, Richard - 2003
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769
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Are market views on banking industry useful for forecasting economic growth?
Lai, Van Son; Ye, Xiaoxia; Zhao, Lu - In: Pacific-Basin finance journal 57 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012170575
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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What do bankrupcty prediction models tell us about banking regulation? : evidence from statistical and learning approaches
Durand, Pierre; LeQuang, Gaëtan - 2021
Persistent link: https://www.econbiz.de/10012437102
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Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2022
Persistent link: https://www.econbiz.de/10013273453
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Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2022
Persistent link: https://www.econbiz.de/10013279729
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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10010532581
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Essays on systemic risk and financial stability
Kund, Arndt-Gerrit - 2021
Persistent link: https://www.econbiz.de/10012818075
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What predicts financial (in)stability? : a Bayesian approach
Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - 2014
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10010458174
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Predicting & Regulating the Systemic Risks of Financial Institutions
Greilsamer, Nicolas - 2016
“Too-Big-to-Fail” is a legitimate trepidation from a macro-prudential perspective of bank regulation. In addition to … simultaneous bank failure; (ii) assess the liability of individual financial institutions to the financial system; and, (iii … crisis that led to instances of heightened systemic risk. Furthermore, I evaluate the current themes in regulation, in order …
Persistent link: https://www.econbiz.de/10013008919