Now showing items 21-27 of 27

    • Portfolio Margining: Strategy vs Risk 

      Coffman, E.G. Jr; Matsypura, D.; Timkovsky, V.G. (Business Analytics., 2010-03)
      This paper presents the results of a novel mathematical and experimental analysis of two approaches to margining customer accounts, strategy-based and risk-based. Building combinatorial models of hedging mechanisms of these ...
    • Ranking games and gambling: When to quit when you're ahead 

      Anderson, E.J. (Business Analytics., 2011-08)
      It is common for rewards to be given on the basis of a rank ordering, so that relative performance amongst a cohort is the criterion. In this paper we formulate an equilibrium model in which an agent makes successive ...
    • Semi-parametric Expected Shortfall Forecasting 

      Gerlach, Richard; Chen, Cathy W.S. (Business Analytics., 2014-04)
      Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation ...
    • Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 

      Proietti, Tommaso; Grassi, Stefano (Business Analytics., 2011-09)
      An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently ...
    • Supply Function Equilibria Always Exist 

      Anderson, Edward (Business Analytics., 2011-04)
      Supply function equilibria are used in the analysis of divisible good auctions with a large number of identical objects to be sold or bought. An important example occurs in wholesale electricity markets. Despite the ...
    • Survival Analysis for Credit Scoring: Incidence and Latency 

      Watkins, John; Vasnev, Andrey; Gerlach, Richard (Business Analytics, 2009-11)
      Duration analysis is an analytical tool for time-to-event data that has been borrowed from medicine and engineering to be applied by econometricians to investigate typical economic and finance problems. In applications to ...
    • The Two-sided Weibull Distribution and Forecasting Financial Tail Risk 

      Gerlach, Richard; Chen, Qian (Business Analytics, 2011-01)
      A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with ...