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A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2011

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010325702

Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

Hoogerheide, Lennart; van Dijk, Herman K. - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...

Persistent link: https://www.econbiz.de/10010326078

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10010326148

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed bene ts. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010491391

Scoring Bank Loans that may go wrong: A Case Study

Cramer, J.S. - 2000

A bank employs logistic regression with state-dependent sample selection to identify loans thatmay go wrong. Inspection …

Persistent link: https://www.econbiz.de/10010324628

Incentives for Effective Risk Management

Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G. - 2001

internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal–agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

Persistent link: https://www.econbiz.de/10010324867

Business and Default Cycles for Credit Risk

Koopman, Siem Jan; Lucas, André - 2003

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Persistent link: https://www.econbiz.de/10010324897

Discrete versus Continuous State Switching Models for Portfolio Credit Risk

Lucas, André; Klaassen, Pieter - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10010324909

Tail Behavior of Credit Loss Distributions for General Latent Factor Models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

Persistent link: https://www.econbiz.de/10010324936

Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

Persistent link: https://www.econbiz.de/10010325004