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Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps

Alessandri, Piergiorgio; Bologna, Pierluigi; Galardo, … - 2020

The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...

Persistent link: https://www.econbiz.de/10012423691

Empirical testing of purchasing power parity validity in selected European Union countries

Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32

coefficients, which means the validity of both the absolute and relative versions of the PPP theory. Croatia is subject to a … version of the PPP theory. In the case of the Czech Republic, Slovakia and Austria, restrictions on the symmetry and … exchange rate, foreign prices and domestic prices, the theory of PPP is valid for all the selected countries. The empirical …

Persistent link: https://www.econbiz.de/10012887177

How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

Kupiec, Paul - 2014

I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I apply these methods to Moody's data on corporate defaults over the period 1920–2008 and assess the model fit and construct hypothesis tests using bootstrap methods. The results...

Persistent link: https://www.econbiz.de/10013070465

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B.; McNeil, Alexander J. - 2018

We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...

Persistent link: https://www.econbiz.de/10011927115

Estimation of Risk Factor Modellability as a Function of Arrival Rate and Seasonality

Obitz, Thomas - 2016

In its Fundamental Review of the Trading Book (FRTB), the Basel Committee introduces the concept of “non-modellable risk factors” (NMRFs), risk factors which cannot be observed frequently enough in the market to establish an accurate and timely estimate of their value. NMRFs have to be...

Persistent link: https://www.econbiz.de/10012977511

Equilibrium Credit : The Reference Point for Macroprudential Supervisors

Buncic, Daniel - 2013

Equilibrium credit is an important concept because it helps identify excessive credit provision. This paper proposes a two-stage approach to determine equilibrium credit. It uses two stages to study changes in the demand for credit due to varying levels of economic, financial and institutional...

Persistent link: https://www.econbiz.de/10013077595