This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that … traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This …

show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil …-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

approach for parameter estimation is proposed based on maximum likelihood for observing rank outcome frequencies. Applications … structure for IFRS9 expected credit loss estimation and CCAR stress testing. Unlike the rating transition model based on Merton … estimation of the asset correlation is required. As an example, the proposed model, benchmarked with the rating transition model …

Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation …

ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc …. Predictability is also found for returns of the London Metal Exchange Index. Previous studies have shown that the Chilean exchange … rate has the ability to predict copper returns, a world commodity index and base metal prices. Nevertheless, our results …

-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction …

Monotonic estimation for the survival probability of a loan in a risk-rated portfolio is based on the observation … level factors can be included. Parameter estimation algorithms are also proposed. The models and algorithms proposed in this … paper can be used for loan pricing, stress testing, expected credit loss estimation, and modeling of the probability of …

Minimum cross-entropy estimation is an extension to the maximum likelihood estimation for multinomial probabilities … consecutive indexes. Results extend to the monotonic estimation for multivariate outcomes by generalized cross-entropy. These … adjacent violators” algorithm in least squares case for the isotonic regression problem. Applications to monotonic estimation …

statistical metrics of forecast accuracy: Mean Squared Prediction Error and Mean Directional Accuracy. We also show that the first …