Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...

Intertemporal shifts in conduct, such as a transition from competitive to anticompetitive behavior, induce shifts in the firms' equilibrium price configurations. Such shifts generate non-stationary price dynamics in addition to those which originate from exogenous fundamentals. We exploit this...

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...

Leptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the...