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How Uncertain are NAIRU Estimates in Colombia
Julio, Juan Manuel - Banco de la Republica de Colombia
of the NAIRU, the Non Accelerating Rate of Unemployment, provide confidence bands, and formally test the constancy … hypothesis on the NAIRU. We also study the robustness of this results to the specification of the Phillips Curve. We find more … reliable estimates of the NAIRU than previous estimates of the output gap, and find evidence in favor of a non constant NAIRU …
Persistent link: https://www.econbiz.de/10005274509
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Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
Rodríguez, Alejandro; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2010
Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...
Persistent link: https://www.econbiz.de/10008543184
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More is not always better : back to the Kalman filter in dynamic factor models
Poncela, Pilar; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2012
In the context of dynamic factor models (DFM), it is known that, if the cross-sectional and time dimensions tend to infinity, the Kalman filter yields consistent smoothed estimates of the underlying factors. When looking at asymptotic properties, the cross- sectional dimension needs to increase...
Persistent link: https://www.econbiz.de/10010585959
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und eine...
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10010267037
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Schätzunsicherheit oder Korrelation, Welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen?
Dannenberg, Henry - 2007
Die Bewertung der Ausfallwahrscheinlichkeiten von Ratingklassen, basierend auf historischen Daten, ist mit Schätzunsicherheit verbunden. Zur Bewertung dieser Unsicherheit werden in der Literatur Konfidenzintervalle diskutiert. Diesen liegen allerdings Annahmen bezüglich der Abhängigkeiten...
Persistent link: https://www.econbiz.de/10010269918
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Model risk in portfolio optimization
Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks 2 (2014) 3, pp. 315-348
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010421281
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The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio
Dannenberg, Henry - 2011
This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10010286023
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Do critical audit matter paragraphs in the audit report change nonprofessional investors' decision to invest?
Christensen, Brant E.; Glover, Steven M.; Wolfe, … - In: Auditing : a journal of practice & theory 33 (2014) 4, pp. 71-93
Persistent link: https://www.econbiz.de/10010467336
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Model risk in portfolio optimization
Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010400258
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Elevating financial reporting beyond a mere compliance instrument
Smieliauskas, Wally; Craig, Russell; Amernic, Joel - In: Accounting perspectives : a journal of The Canadian … 21 (2022) 1, pp. 61-100
Persistent link: https://www.econbiz.de/10013161944