Browsing Business Analytics Working Paper Series by publication year
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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 -
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 -
Mixed strategies in discriminatory divisible-good auctions
Published 2009-11-01Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the ...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 -
Portfolio Margining: Strategy vs Risk
Published 2010-03-01This 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 ...Open AccessWorking Paper -
Combinatorics of Option Spreads: The Margining Aspect
Published 2010-07-01In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking ...Open AccessWorking Paper -
Margining Option Portfolios by Network Flows
Published 2010-09-01As shown in [Rudd and Schroeder, 1982], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads ...Open AccessWorking Paper -
The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
Published 2011-01-01A 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 AccessWorking Paper -
Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
Published 2011-02-01A Semiparametric spatial model is used as it allows nonlinear estimation of both mean and variance. A Bayesian approach is used for inference via a Markov Chain Monte Carlo sampling scheme. A distinct advantage of using ...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 -
Supply Function Equilibria Always Exist
Published 2011-04-01Supply 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 ...Open AccessWorking Paper -
Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
Published 2011-06-01This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies ...Open AccessWorking Paper -
Convergent learning algorithms for potential games with unknown noisy rewards
Published 2011-08-01In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world ...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 -
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
Published 2011-09-01An 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 ...Open AccessWorking Paper -
Do External Political Pressures Affect the Renminbi Exchange Rate?
Published 2011-09-01This paper investigates whether external political pressure for faster renminbi (RMB) appreciation affect both the daily returns and the conditional volatility of the RMB central parity rate. We construct several political ...Open AccessWorking Paper -
Does the Box-Cox transformation help in forecasting macroeconomic time series?
Published 2011-10-01The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...Open AccessWorking Paper -
The Multistep Beveridge-Nelson Decomposition
Published 2011-10-01The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson ...Open AccessWorking Paper -
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets
Published 2012-01-01Bayesian 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 AccessWorking Paper -
Maximum likelihood estimation of time series models: the Kalman filter and beyond
Published 2012-05-01The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, ...Open AccessWorking Paper