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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …
Persistent link: https://www.econbiz.de/10003846947
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …
Persistent link: https://www.econbiz.de/10003953034
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Peaks or tails : what distinguishes financial data?
Krämer, Walter; Runde, Ralf - 1999
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...
Persistent link: https://www.econbiz.de/10009793263
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Microeconometric Evaluation Methods
Fougère, Denis - 2010
Our survey covers the recent developments of the microeconometric literature on evaluation methods. In this field, the canonical model is Rubin's causal model, which is close to Roy's selectivity model. This model is the relevant framework for defining and for examining the identifiability...
Persistent link: https://www.econbiz.de/10013136874
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …
Persistent link: https://www.econbiz.de/10012989258
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New Insights on Unemployment Duration and Post Unemployment Earnings in Germany : Censored Box-Cox Quantile Regression at Work
Fitzenberger, Bernd; Wilke, Ralf A. - 2021
specification of the unobserved error distribution and avoids the common proportional hazard assumption. Our results suggest that …
Persistent link: https://www.econbiz.de/10013317225
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The Effect of Disability on Labour Market Outcomes in Germany : Evidence from Matching
Lechner, Michael; Vazquez-Alvarez, R. - 2021
If labour market policies aimed at people with disabilities are effective, we should observe no significant difference in labour market outcomes between disable and non-disable individuals. This paper examines the impact of disability status on labour market outcomes using matching methods...
Persistent link: https://www.econbiz.de/10013319583
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian - 2017
regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence …
Persistent link: https://www.econbiz.de/10012966219
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Explaining Epps Effect When Bivariate Price Staleness Is Present
Zhu, Haibin; Liu, Zhi - 2022
The intraday high-frequency datasets contain several zero returns, which state that no change occurs in two or more consecutive transactions, particularly in the transaction data of in- active securities. In addition, existing approaches to cleaning financial data, such as the previous-tick...
Persistent link: https://www.econbiz.de/10013404859
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On the systemic nature of weather risk
Filler, Guenther; Odening, Martin; Okhrin, Ostap - 2009
Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper … at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is … diversification effects considerably. -- Weather risk ; crop insurance ; copula …
Persistent link: https://www.econbiz.de/10003796148