Similar Search Results

Multi-Period Credit Default Prediction with Time-Varying Covariates

Orth, Walter - 2011

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

Persistent link: https://www.econbiz.de/10013128307

Default probability estimation in small samples: With an application to sovereign bonds

Orth, Walter - 2011

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...

Persistent link: https://www.econbiz.de/10010311006

Confidence in prior knowledge: Calibration and impact on portfolio performance

Wickern, Tobias - 2011

The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...

Persistent link: https://www.econbiz.de/10010311007

Stochastic linear programming with a distortion risk constraint

Bazovkin, Pavel; Mosler, Karl - 2011

Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the violation of restrictions. Such a model turns out to be appropriate for many applications and, principally, for the mean-risk portfolio selection problem. Each...

Persistent link: https://www.econbiz.de/10010311008

Fast nonparametric classification based on data depth

Lange, Tatjana; Mosler, Karl; Mozharovskyi, Pavlo - 2012

A new procedure, called DD-procedure, is developed to solve the problem of classifying d-dimensional objects into q Ï 2 classes. The procedure is completely nonparametric; it uses q-dimensional depth plots and a very efficient algorithm for discrimination analysis in the depth space [0, 1]q ....

Persistent link: https://www.econbiz.de/10010311009

Linear statistical inference for global and local minimum variance portfolios

Frahm, Gabriel - 2007

Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances....

Persistent link: https://www.econbiz.de/10010298430

Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance

Frahm, Gabriel; Jaekel, Uwe - 2007

In recent publications standard methods of random matrix theory were applied to principal components analysis of high …-dimensional financial data. We discuss the fundamental results and potential shortcomings of random matrix theory in the light of the … a general model for the investigation of standard methods of random matrix theory. It is shown that the Marčenko …

Persistent link: https://www.econbiz.de/10010298431