Business Analytics Working Paper Series: Recent submissions
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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 ...Working 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 ...Working 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 ...Working 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 ...Working 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 ...Working Paper