Testing calibration quality by means of backtesting is an integral part in the validation of credit rating systems. Against this background this paper provides a comprehensive overview of existing testing procedures. We study the procedures' deficiencies theoretically and illustrate their impact...

Aumann and Serrano (J Political Econ 116(5):810–836, <CitationRef CitationID="CR3">2008</CitationRef>) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and...</citationref>

Aumann and Serrano (2008) introduce the index of riskiness to quantify the risk of a gamble. We discuss for which gambles this index of riskiness exists by considering the acceptance behavior of CARA-agents. Since for several relevant distributions riskiness is not defined, we suggest an...

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...

Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as...

The economic impact of the port sector is usually measured at an aggregate level by indicators such as value added, employment and investment. This paper tries to define the economic relevance for the regional as well as for the national economy at a disaggregate level. It attempts to identify,...

This paper applies the theory of finite Markov chains to analyse the demographic evolution of Belgian enterprises. While other methodologies concentrate on the entry and exit of firms, the Markov approach also analyses migrations between economic sectors. Besides helping to provide a fuller...

Several studies have shown that the Belgian harmonised index of consumer prices for electricity (HICP-EL) has become more volatile since the end of 2007. The increased volatility can be observed not only for the past behaviour of the index, but also relative to other countries’ indices. A...