Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we...

Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares method. Given the arguments of Judge and Takayama...

We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style portfolio weights of the MSCI sector returns. Following van Dijk and Kloek (1980) an appropriately defined prior density of style weights can incorporate non-negativity and other constraints. We use...

We present a new, full multivariate framework for modelling the evolution of conditional correlation between financial asset returns. Our approach assumes that a vector of asset returns is shocked by a vector innovation process the covariance matrix of which is timedependent. We then employ an...

This paper provides evidence on the existence of asymmetries in the underlying loss preferences for the difference between the spot and forward nominal exchange rate. We find that, in the context of both linear and non-linear loss functions, the underlying loss preferences for monthly data are...

We investigate the nature of the inflation bias in a model that exhibits asymmetries in preferences and non–normality in shocks but simplifies to the classic Barro-Gordon problem as a special case. The inflation bias is shown to depend on the trade-off between preference, structural and...

This paper summarizes the proceedings of a conference at the Bank of Greece on credit risk. The papers presented focused on innovations in risk management methods which contribute to systemic financial stability, calculation of capital adequacy in financial institutions as well as the validation...