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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...
Persistent link: https://www.econbiz.de/10003899580
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Macro Stress Testing with a Macroeconomic Credit Risk Model : Application to the French Manufacturing Sector
Avouyi-Dovi, Sanvi - 2010
a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions …; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures …
Persistent link: https://www.econbiz.de/10013138812
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Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Dubrana, Ludovic - 2012
The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185
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Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets
Zikovic, Sasa - 2009
losses to ES forecasts. Backtesting results show that only our proposed new hybrid and Extreme Value (EV)-based VaR models …
Persistent link: https://www.econbiz.de/10013155427
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Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series
Gerlach, J-C - 2020
We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....
Persistent link: https://www.econbiz.de/10012836362
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American Option Pricing Using Simulation : An Introduction with an Application to the GARCH Option Pricing Model
Stentoft, Lars - 2019
It contains an introduction to how simulation methods can be used to price American options and a discussion of various …
Persistent link: https://www.econbiz.de/10012905711
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Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality
Swanson, Norman R. - 2013
importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …
Persistent link: https://www.econbiz.de/10012711524
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It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
da Veiga, Bernardo - 2010
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10013149149
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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman R.; Urbach, Richard - 2013
importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …
Persistent link: https://www.econbiz.de/10009777938
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A probabilistic cohort-component model for population forecasting : the case of Germany
Vanella, Patrizio; Deschermeier, Philipp - 2018
and low fertility rates, which is the case for most countries in Europe, urgently need adequate population forecasts to … contribution proposes a stochastic cohort-component model that uses simulation techniques based on stochastic models for fertility …
Persistent link: https://www.econbiz.de/10011912101