Business Analytics Working Paper Series: Recent submissions
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Semi-parametric Expected Shortfall Forecasting
Published 2014-04-01Intra-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 AccessWorking Paper -
Confidence Levels for CVaR Risk Measures and Minimax Limits*
Published 2014-01-01Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this ...Open AccessWorking Paper -
Two-Sample Nonparametric Estimation of Intergenerational Income Mobility
Published 2013-08-07We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly ...Open AccessWorking Paper -
Competing for contracts with buyer uncertainty: Choosing price and quality variables
Published 2013-05-09We model a situation in which a single firm evaluates competing suppliers and selects just one. Suppliers submit bids involving both price and quality variables. The buyer makes a choice which from the supplier's perspective ...Open AccessWorking Paper -
Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity
Published 2012-12-01Applications 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 AccessWorking Paper