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Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...
Persistent link: https://www.econbiz.de/10010421286
The welcome rise of replication tests in economics has not been accompanied by a single, clear definition of replication. A discrepant replication, in current usage of the term, can signal anything from an unremarkable disagreement over methods to scientific incompetence or misconduct. This...
Persistent link: https://www.econbiz.de/10010531710
of robustness and that the robustness analysis can lead to a reversal of policy preference from the putative optimum …
Persistent link: https://www.econbiz.de/10011279475
We study optimal selling strategies of a seller who is poorly informed about the buyer’s value for the object. When the maxmin seller only knows that the mean of the distribution of the buyer’s valuations belongs to some interval then nature can keep him to payoff zero no matter how much...
Persistent link: https://www.econbiz.de/10011307115
This paper examines factors that may influence the estimates of the Value of a Statistical Life obtained from contingent valuation surveys that elicit the willingness to pay (WTP) for mortality risk reductions. We examine the importance of distributional assumptions, the choice of the welfare...
Persistent link: https://www.econbiz.de/10011325006
distinguish between environments? Robustness comes at the price of targeting actions less narrowly to specific conditions, so we … lose gains from specialization. Need for robustness comes from our limited knowledge. Rational dealing with uncertainty …
Persistent link: https://www.econbiz.de/10011327302
The behaviour of group sequential tests in the two-sample problem is investigated if one replaces the classical non-robust estimators in the t-test statistic by modern robust estimators of location and scale. Hampel's 3-part redescending M-estimator 25A used in the Princeton study and the robust...
Persistent link: https://www.econbiz.de/10011335348
This study aims to identify robust push and pull factors of human trafficking. I test for the robustness of 78 push and …
Persistent link: https://www.econbiz.de/10011335436
We estimate monetary policy rules in Switzerland for 1981-1997. In addition to an inflation gap, we find that forward-looking rules with output and exchange rate gaps nicely fit monetary aggregates as well as the call rate. We split the sample in 1990 when the Swiss National Bank replaced annual...
Persistent link: https://www.econbiz.de/10011430020
We propose instrumental variable(IV) estimators for quantile marginal effects and the parameters upon which they depend in a semiparametric outcome model with endogenous discrete treatment variables. We prove identification, consistency, and asymptotic normality of the estimators. We also show...
Persistent link: https://www.econbiz.de/10011460731