This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

A model/hedging performance is relatively poorly covered in the literature. This is particularly valid for general portfolios including both vanilla and exotic instruments. Practitioners generally use so called \pnl explain which measures whether portfolio price movements can be explained by...

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

Econometric models under complete information environment with game theoretic foundations are used in this work to analyze husband and wife labor force participation in Mexico. A mechanism of equilibrium's selection was designed in the context of multiple equilibria, in order to identify the...

We explore Knightian model uncertainty as an explanation for the observed excess persistence and attenuation in estimated interest-rate reaction functions for the United States, relative to what optimal feedback rules would suggest. Two types of uncertainty are identified: (i) unstructured model...

This paper explores Knightian model uncertainty as a possible explanation of the considerable difference between estimated interest rate rules and optimal feedback descriptions of monetary policy. We focus on two types of uncertainty: (i) unstructured model uncertainty reflected in additive...

In what follows, four research topics in theoretical spatial economics are presented, topics which have been worked on recently. They start with two so-called "Tinbergen-Bos Systems" (TBS) analyses. The first is a check on the empirical presence of "Tinbergen hierarchies" in Dutch microregional...

We adopt a family of nonparametric Cressie-Read estimators to price options based on relative pricing using the underlying asset returns. We use option models with stochastic volatility and jumps to investigate the ability of each member in this family to price options with different moneynesses...

We discuss efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman-Klass and Roger-Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on bridge estimator, are considerably more efficient than analogous...

Im folgenden Beitrag wird die Dynamik von Marktprozessen in der deutschen Automobilindustrie mit Hilfe von Regelkreismodellen und Zeitreihenanalysen sichtbar gemacht und quantifiziert. Dargestellt werden der Markträumungs-, der Renditenormalisierungs-, der Übermachterosions-, der...