• Bayesian Assessment of Dynamic Quantile Forecasts 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.
      Published 2014-09-10
      Methods for Bayesian testing and assessment of dynamic quantile forecasts are proposed. Specifically, Bayes factor analogues of popular frequentist tests for independence of violations from, and for correct coverage of a ...
      Open Access
      Working Paper
    • Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Lee, Wcw
      Published 2011-03-01
      Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus ...
      Open Access
      Working Paper
    • Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan
      Published 2012-01-01
      Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional ...
      Open Access
      Working Paper
    • Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures 

      Gerlach, Richard; Wang, Chao
      Published 2015-09-11
      A new framework named Realized Conditional Autoregressive Expectile (Realized- CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a framework analogous to Realized-GARCH. ...
      Open Access
      Working Paper
    • Bayesian Tail Risk Forecasting using Realised GARCH 

      Contino, Christian; Gerlach, Richard
      Published 2014-10-10
      A Realised Volatility GARCH model is developed within a Bayesian framework for the purpose of forecasting Value at Risk and Conditional Value at Risk. Student-t and Skewed Student-t return distributions are combined with ...
      Open Access
      Working Paper
    • Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 

      Gerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C.
      Published 2009-08-01
      Recently, Bayesian solutions to the quantile regression problem, via the likelihood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional ...
      Open Access
      Working Paper
    • Estimating Value At Risk 

      Lu, Zudi; Huang, Hai; Gerlach, Richard
      Published 2010-01-01
      Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in ...
      Open Access
      Working Paper
    • Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity 

      Vasnev, Andrey; Gerlach, Richard; Watkins, John
      Published 2012-12-01
      Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity ...
      Open Access
      Working Paper
    • Semi-parametric Expected Shortfall Forecasting 

      Gerlach, Richard; Chen, Cathy W.S.
      Published 2014-04-01
      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 ...
      Open Access
      Working Paper
    • Survival Analysis for Credit Scoring: Incidence and Latency 

      Watkins, John; Vasnev, Andrey; Gerlach, Richard
      Published 2009-11-01
      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 ...
      Open Access
      Working Paper
    • The Two-sided Weibull Distribution and Forecasting Financial Tail Risk 

      Gerlach, Richard; Chen, Qian
      Published 2011-01-01
      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 ...
      Open Access
      Working Paper