Discipline of Business Analytics: Recent submissions
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Survival Analysis for Credit Scoring: Incidence and Latency
Published 2009-11-01Duration 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 AccessWorking Paper -
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets
Published 2009-08-01Recently, 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 AccessWorking Paper -
Estimating Value At Risk
Published 2010-01-01Significantly 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 AccessWorking Paper -
Ranking games and gambling: When to quit when you're ahead
Published 2011-08-01It 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 ...Open AccessWorking Paper -
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Published 2011-03-01Value-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 AccessWorking Paper