We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination weights. Building on the work of Ranjan and Gneiting (2010) and...

We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination weights. Building on the work of Ranjan and Gneiting (2010) and...

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

In this research, the omitted variable problem in a spatial autoregressive model is analyzed by simulation. We examine the performances of estimators when an omitted variable is correlated with explanatory variables. In the literature, theoretical aspects of estimating spatial autoregressive...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between...

The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...

A successful long-term financial plan depends on the correspondence of projected returns and actual returns. Simulation results are subject to the effects of differences between implementation fund(s) attributes and asset class attributes used in the simulation. Thus, simulation outcomes and...

We extend the study of a parametric latent model for extreme values from Noven et al. (2018) which captures serial dependence in the exceedances above a threshold using so-called trawl processes (Barndorff-Nielsen (2011)) - a family of stationary and infinitely divisible random processes. In...