Business Analytics Working Paper Series: 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 -
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 -
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 -
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