Showing 1 - 10 of 25,567
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010344866
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10009159238
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10012991040
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order to characterize the in-sample copulas and to validate...
Persistent link: https://www.econbiz.de/10013405681
This paper studies aspects of the broad class of log-concave probability distributions that arise in the economics of uncertainty and information. Useful properties of univariate log-concave distributions are proven without imposing differentiability of density functions. We also discuss...
Persistent link: https://www.econbiz.de/10014177287
Understanding uncertainty in estimating risk measures is important in modern financial risk management. In this paper we consider a nonparametric framework that incorporates auxiliary information available in covariates, and propose a family of inferential methods for the value at risk, expected...
Persistent link: https://www.econbiz.de/10013047591
We propose a parsimonious statistical model of firm competition where structural differences in the strength of competitive pressure and the magnitude of return fluctuations above and below the system-wide benchmark translate into a skewed Subbotin or asymmetric exponential power (AEP)...
Persistent link: https://www.econbiz.de/10011982713
This paper studies aspects of the broad class of log-concave probability distributions that arise in the economics of uncertainty and information. Useful properties of univariate log-concave distributions are proven without imposing differentiability of density functions. We also discuss...
Persistent link: https://www.econbiz.de/10014087602
Persistent link: https://www.econbiz.de/10002244706
Persistent link: https://www.econbiz.de/10011597163