(2001), among others. However, statistical estimation techniques and empirical evidence on contagion are still scarce …

This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio …. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter … clear that estimation uncertainty does indeed have an effect on interest rates. -- Credit portfolio risk ; estimation …

The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation … which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than … a model that implicates default correlation but ignore estimation uncertainty. The latter is a trait of conventional …

irrelevant. Consistent factor estimation turns out to be feasible, even under factor nonpervasiveness, if one first prescreens … and irrelevant variables. Our methodology enables the consistent estimation of conditional mean functions of factor …

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …