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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - Institut für Wirtschaftsforschung Halle (IWH) - 2010
. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more problematic …
Persistent link: https://www.econbiz.de/10008519860
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The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio
Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2011
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-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10009189890
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und eine...
Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2009
region for a short credit history is bootstrapping. Hence, it could be more appropriate to assess estimation uncertainty with … bootstrapping than with asymptotic methods if only a short credit history is available. Based on a simulation study, it is analyzed … bootstrapping and a Wald confidence region shall achieve similar results. This article shows that more than 100 cycles have to be …
Persistent link: https://www.econbiz.de/10005426802