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John A Morrison's Blog – June 2010 Archive (12)

An Econometric Study Of Vine Copulas

D. Guégan‡and P.A. Maugis
Abstract
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance.
Both results are crucial to motivate any econometrical work…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Matteo Barigozzi, SBS‐EM, ECARES, Université Libre de Bruxelles
Christian T. Brownlees, New York University
Giampiero M. Gallo, University of Florence
David Veredas, SBS‐EM, ECARES, Université Libre de Bruxelles
Abstract
When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Housing collateral and the monetary transmission mechanism

by Karl Walentin and Peter Sellin…

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Added by John A Morrison on June 18, 2010 at 12:00pm — No Comments

A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Luis H. R. Alvarez and Jani T. Sainioy
Turku School of Economics, Department of Accounting and Finance


Abstract
We extend the Vasicek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and depends on the…
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Added by John A Morrison on June 18, 2010 at 1:30am — No Comments

FAIR VALUE IN FOUL WEATHER Andrew G Haldane

Executive Director Financial Stability Bank of England

March 2010

This is a great speech, worth taking the time to read.

Added by John A Morrison on June 16, 2010 at 1:20am — No Comments

An economic capital model for the Banking Book



Piergiorgio Alessandri and Mathias Drehmann
Working Paper No. 388, Bank of England


An economic capital model integrating credit and interest rate risk in the banking book


Abstract


Banks often measure credit and interest rate risk…
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Added by John A Morrison on June 16, 2010 at 1:09am — No Comments

A EUROPEAN STABILIZATION BANK

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Added by John A Morrison on June 11, 2010 at 12:00pm — 2 Comments

Nelson-Siegel Affine and Quadratic Yield Curve Specifications

Nelson-Siegel Affine and Quadratic Yield Curve Specifications

which one is better at forecasting?
by Ken Nyholm
and Rositsa Vidova-Koleva

June 2 0 1 0
E U R O P E A N C E N T R A L B A N K





Added by John A Morrison on June 8, 2010 at 11:30am — No Comments

Collateral Factory

INTERIM - IN DEVELOPMENT…


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Added by John A Morrison on June 7, 2010 at 2:46pm — No Comments

theme developing on asymptotix

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Added by John A Morrison on June 7, 2010 at 2:30pm — No Comments

PRICING CATASTROPHE SWAPS A CONTINGENT CLAIMS APPROACH

Alexander Braun
Institute of Insurance Economics, University of St. Gallen,


Abstract


While catastrophe bonds, futures and options have attracted increasing scholarly attention through-
out the last two decades, the catastrophe swap, a financial instrument of growing importance for risk
managers and investors, has been virtually neglected altogether. This paper aims at filling the gap
by discussing…
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Added by John A Morrison on June 6, 2010 at 12:18am — No Comments

From Basel II to Solvency II—Risk Management in the Insurance Sector

Markus Rudolf1 and… Continue

Added by John A Morrison on June 5, 2010 at 11:32pm — No Comments

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