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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel … data. We use long-term panel data from Germany and apply different regression models, based on household covariates and … on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10009671469
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of...
Persistent link: https://www.econbiz.de/10002638723
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Bayesian estimation of the false negative fraction in screening tests
Held, Leonhard (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of...
Persistent link: https://www.econbiz.de/10002719909
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Model Uncertainty in Operational Risk Modeling Due to Data Truncation : A Single Risk Case
Yu, Daoping - 2017
Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...
Persistent link: https://www.econbiz.de/10012943417
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Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
panel data. We use long-term panel data from Germany and apply different regression models, based on household covariates …. Estimates based on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of … vulnerability predictions is limited even when panel data are used. In part this low accuracy is due to low poverty incidence and …
Persistent link: https://www.econbiz.de/10010358150
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
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Generalized Risk Premia
Schneider, Paul - 2015
This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...
Persistent link: https://www.econbiz.de/10013033715
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How reliable is duality theory in empirical work?
Rosas, Francisco; Lance, Sergio H. - In: American journal of agricultural economics 101 (2019) 3, pp. 825-848
Persistent link: https://www.econbiz.de/10012114826
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012219127