From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean prot and loss dataand Value-at-Risk estimates of the...

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certainassumption violations in small samples. Emphasis is put on within-sample-dependence,between-sample dependence, and the presence of ties. Our results show that both assumptionviolations induce severe size...

Consider the problem of testing s hypotheses simultaneously. In order to deal with themultiplicity problem, the classical approach is to restrict attention to procedures that controlthe familywise error rate (FWE). Typically, it is known how to construct tests of the individualhypotheses, and...

Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...

In this paper we first investigate the validity of a general Value at Risk approach, which iswidely used for risk management in banking and insurance companies. We discuss and widely rejectthe conventional assumptions, e.g. independent identically distributed normal returns, and as...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is...

Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable...