Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

We analyze the interdependency between different financial markets by using multivariate extreme value theory. This permits one to focus on the occurrence of simultaneous financial market crises, whereas standard co-variance analysis is less suitable for studying extreme interdependencies. The...

We propose a novel nonparametric method to distinguish between recessions vs. depressions and expansions vs. booms in aggregate economic activity. Four depression and

Researchers gathered abundant evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia but they rarely investigated coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when...

We derive the exact loss distribution for portfolios of bonds or cor-porate loans when the number of risks grows indefinitely. We show that in many cases this distribution lies in the maximal domain of attraction of the Weibull (Type III) limit law. Knowledge of the dis-tribution and its tail...

The paper investigates the long run historic development of the Amsterdam rental housing market (1550–1850). Using rent data on a large cross section of residential properties in Amsterdam we are able to develop an annual constant-quality rent index for the entire time period. Whereas nominal...

[eng] Time Varying Forex Market Inefficiency by Camiel de Koning and Stefan Straetmans . Researchers have gathered abundant empirical evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia. However, few have studied coefficient instability and its...

The so-called German Dominance Hypothesis (GDH) claimed that Bundesbank policies were transmitted into other European Monetary System (EMS) interest rates during the pre-euro era. We reformulate this hypothesis for the Central and Eastern European (CEE) countries that are on the verge of...

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...