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Caught in the Housing Crash: Model Failure or Management Failure

Löffler, Gunter - Universität <Ulm> / Institut für Finanzwirtschaft - 2008

I apply standard time series models to US housing prices. Forecasts made in 2005 or earlier would have produced stress scenarios that are worse than the subsequent actual change in housing prices. The probability of these scenarios is in the range that banks claim to consider in their risk...

Persistent link: https://www.econbiz.de/10005870835

Stochastic PopulationForecast for Germany and itsConsequence for the GermanPension System

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Population forecasts are crucial for many social, political and economic decisions. Officialpopulation projections rely in general on deterministic models which use different scenariosfor future vital rates to indicate uncertainty. However, this technique shows substantialweak points such as...

Persistent link: https://www.econbiz.de/10008939790

Bond Risk Premia Forecasting: A Simple Approach forExtracting Macroeconomic Information from a Panelof Indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - Swiss National Centre of Competence in Research North … - 2010

We propose a simple but effective estimation procedure to extract the level and the volatilitydynamics of a latent macroeconomic factor from a panel of observable indicators. Our approachis based on a multivariate conditionally heteroskedastic exact factor model that cantake into account the...

Persistent link: https://www.econbiz.de/10009305116

Bank Lending Effect on German Commercial Property Prices

Gruber, Johann; Lee, Gabriel S. - Institut für Immobilienwirtschaft <Regensburg> - 2008

This paper analyzes the effects of bank lending on German commercial property prices. The theory on therole of financial intermediaries in business cycle activity states that lending activity is characterized byasymmetric information between borrowers and lenders. Unlike other...

Persistent link: https://www.econbiz.de/10009353979

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

particular parameter uncertainty is important for long-run forecasts. This implies that hitherto existing forecasting methods …

Persistent link: https://www.econbiz.de/10005860485

Adaptive Forecasting of the EURIBOR Swap Term Structure

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...

Persistent link: https://www.econbiz.de/10005860579

Support Vector Regression Based GARCH Model with Application to ForecastingVolatility of Financial Returns

Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …

Persistent link: https://www.econbiz.de/10005860742

Forecasting Euro-Area Variables with German Pre-EMU Data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …

Persistent link: https://www.econbiz.de/10005861273

A Discussion of the Risk Assessment Methods for the German Automobile Insurance Industry

Parnitzke, Thomas - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008

The aim of this paper is to discuss different methods for risk assessment in theGerman automobile industry. We present the traditional approach for classifyingrisks, which is actually applied in the German market, and discuss one crucial difficulty inherent to this approach for proper risk...

Persistent link: https://www.econbiz.de/10005861402

Assessing Forecast Uncertainties in a VECX Modelfor Switzerland: An Exercise in Forecast Combinationacross Models and Observation Windows

Assenmacher-Wesche, Katrin; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

. Forecast uncertainty is evaluated in three different dimensions. First,we investigate the effect on forecasting performance of …

Persistent link: https://www.econbiz.de/10005861655