• 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
    • 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
    • Ranking games and gambling: When to quit when you're ahead 

      Anderson, E.J.
      Published 2011-08-01
      It 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 Access
      Working Paper
    • Margining Option Portfolios by Network Flows 

      Matsypura, D.; Timkovsky, V.G.
      Published 2010-09-01
      As 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 Access
      Working Paper
    • Forecast combination for discrete choice models: predicting FOMC monetary policy decisions 

      Pauwels, Laurent; Vasnev, Andrey
      Published 2011-06-01
      This 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 Access
      Working Paper