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Modellrisiko
Stahl, Gerhard; Sibbertsen, Philipp; Bertram, Philip - 2011
Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...
Persistent link: https://www.econbiz.de/10008909540
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About the impact of model risk on capital reserves : a quantitative analysis
Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011
This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …
Persistent link: https://www.econbiz.de/10008909530
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Modellrisiko
Stahl, Gerhard; Sibbertsen, Philipp; Bertram, Philip - 2011
Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...
Persistent link: https://www.econbiz.de/10010289014
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About the impact of model risk on capital reserves: A quantitative analysis
Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011
This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …
Persistent link: https://www.econbiz.de/10010288998
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Robuste Parameterschätzung im linearen Regressionsmodell bei Fehlertermen mit langem Gedächtnis
Sibbertsen, Philipp - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001364375
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On robust local polynomial estimation with long-memory errors
Beran, Jan; Feng, Yuanhua; Gosh, Sucharita; Sibbertsen, … - 2000
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...
Persistent link: https://www.econbiz.de/10011544323
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Nonparametric M-estimation with long-memory errors
Beran, Jan; Gosh, Sucharita; Sibbertsen, Philipp - 2000
We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...
Persistent link: https://www.econbiz.de/10011544721
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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The memory of volatility
Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, … - In: Quantitative finance and economics 2 (2018) 1, pp. 137-159
Persistent link: https://www.econbiz.de/10012137903
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94
Persistent link: https://www.econbiz.de/10011982960