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In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...
Persistent link: https://www.econbiz.de/10015230085
credit loss estimation, it is widely expected that higher risk grades carry higher default risks, and that an entity is more … these approaches is that the risk scale for the estimates is not fully justified, leading to a possible bias in credit loss … estimates obtained by these approaches are optimal in the sense of constrained maximum likelihood, with a fair risk scale …
Persistent link: https://www.econbiz.de/10015256530
to the common score and intercepts, the rank and rating (for a risk-rated portfolio) specific sensitivity. This rank … specific sensitivity allows a risk rating to respond to its migrations to default, downgrade, stay, and upgrade accordingly. An … model, which allows only one sensitivity parameter for all rank outcomes for a rating, and uses only systematic risk drivers …
Persistent link: https://www.econbiz.de/10015256549
Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...
Persistent link: https://www.econbiz.de/10015257063
scenario losses. In this paper, we propose a model to estimate the expected portfolio losses brought by recession risk, and a … stress portfolio expected loss by recession risk, and calculate the scenario weights accordingly. …
Persistent link: https://www.econbiz.de/10015263936
The equity premium (also called market risk premium, equity risk premium, market premium and risk premium), is one of …
Persistent link: https://www.econbiz.de/10015216252
riskadjusted cost of capital, where the latter is given by the sum of the risk-free rate and a risk-premium which is a function of … the systematic risk of the project, itself a function of the project cost. …
Persistent link: https://www.econbiz.de/10015216449
discount rate is the cost of capital. The latter is the expected rate of return of an equivalent-risk alternative that the …
Persistent link: https://www.econbiz.de/10015263400
return of an equivalent-risk alternative that the investor might undertake and is often found by making recourse to the …
Persistent link: https://www.econbiz.de/10015263972
discount rate is the cost of capital. The latter is the expected rate of return of an equivalent-risk alternative that the …
Persistent link: https://www.econbiz.de/10015268322