This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

In many economic applications it is desirable to make future predictions about the financial status of a company. The focus of predictions is mainly if a company will default or not. A support vector machine (SVM) is one learning method which uses historical data to establish a classification...

Die Rekordzahlen an Unternehmensinsolvenzen, die schlechte Ertragslage der deutschen Kreditinstitute in den vergangenen Jahren und der von Basel II ausgehende Druck zur Verwendung von realitätsnahen Ausfallwahrscheinlichkeiten haben es überdeutlich gemacht: Der Bedarf an leistungsfähigen...

SFB 649 Discussion Paper 2007-035 Estimating Probabilities of Default With Support Vector Machines Wolfgang Härdle* Rouslan Moro** Dorothea Schäfer*** * Humboldt-Universität zu Berlin, Germany ** Humboldt-Universität zu Berlin & DIW Berlin, Germany *** DIW...