Economic Risk Seminar

Partial orderings of default predictions

Speaker(s): 
Walter Krämer (Technische Fakultät Dortmund)
Date: 
Monday, July 6, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We compare and generalize various partial orderings of probability forecasters according to the quality of their predictions. It appears that the calibration requirement is quite at odds with the possibility of some such ordering. However, if the requirements of calibration and identical right marginals are relaxed, comparability obtains more easily.

Performance von Mutual Sector Funds

Speaker(s): 
Rainer Schulz (The University of Aberdeen)
Date: 
Monday, June 29, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Sector mutual funds have experienced high growth in the US over the past two decades. We examine the performance of the sector fund industry and the relative performance of different sectors, such as funds that invest in real estate stocks or tech stocks. We assess the performance using several different benchmarks.

Risk Related Brain Regions Detected with 3D Image FPCA

Speaker(s): 
Ying Chen (National University of Singapore)
Date: 
Monday, June 22, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Risk attitude and perception is reflected in brain reactions during an RPID experiment. Given the fMRI data, the question is how to detect the risk related regions and explain the relation between people's risk preference and brain activity. Conventional methods are often insensitive to the original spatial patterns and interdependence of the fMRI data.

TERES - Tail Event Risk managing Expected Shortfall

Speaker(s): 
Philipp Gschöpf (Humboldt-Universität zu Berlin)
Date: 
Monday, June 15, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

A flexible framework for a tail event driven expected shortfall estimation is proposed. Our model allows to capture the risk associated with extreme (market) conditions. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk assessment is provided. Expected shortfall dynamics under different tail structure scenarios are investigated, particularly the implications of increased tail risk are discussed.

Localized Conditional Autoregressive Expectile Model

Speaker(s): 
Xiu Xu (Humboldt-Unverisität zu Berlin)
Date: 
Monday, June 15, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Localized conditional autoregressive expectile (CARE) model accounts for time-varying parameters in tail risk modelling. Our technique strikes a balance between parameter variability and the modelling bias resulting in potentially varying parameter homogeneity interval lengths. Over this intervals one can safely assume a parametric model in expectile estimation. Based on empirical evidence at three stock markets between 2005-2014 we show that CARE parameters vary over time and exhibit changing distributional properties.

Middle Class Origins of the Financial Crisis

Speaker(s): 
Antoinette Schoar (Massachusetts Institute of Technology)
Date: 
Thursday, June 11, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We provide a novel interpretation of the debt dynamics leading up to the financial crisis of 2007. Earlier research suggests that distortions in the supply of mortgage credit, evidenced by a decoupling of credit flow from income growth, may have been responsible for the rise in house prices and the subsequent collapse of the housing market. This paper shows that the increase in mortgage originations was shared across the whole distribution of borrowers, and that middle and high income borrowers still made up the majority of originations at the peak of the boom.

Gaussian processes and Bayesian moment estimation

Speaker(s): 
Anna Simoni
Date: 
Monday, June 1, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Modeling and Forecasting Volatility in the Financial Markets

Speaker(s): 
Evgeny Burnaev (Russian Academy of Sciences)
Date: 
Monday, May 18, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Volatility modeling and forecasting have attracted much attention in recent years, largely motivated by its importance in financial markets. Many asset-pricing models use volatility estimates as a simple risk measure, and volatility appears in option pricing formulas derived from such models as the famous Black-Scholes model and its various extensions. For hedging against risk and for portfolio management, reliable volatility estimates and forecasts are crucial.

Modeling and Forecasting Volatility in the Financial Markets

Speaker(s): 
Evgeny Burnaev (Russian Academy of Sciences)
Date: 
Monday, May 11, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Volatility modeling and forecasting have attracted much attention in recent years, largely motivated by its importance in financial markets. Many asset-pricing models use volatility estimates as a simple risk measure, and volatility appears in option pricing formulas derived from such models as the famous Black-Scholes model and its various extensions. For hedging against risk and for portfolio management, reliable volatility estimates and forecasts are crucial.

Specification Tests in Random Coefficient Models

Speaker(s): 
Christoph Breunig (Humboldt-Unverisität zu Berlin)
Date: 
Monday, May 4, 2015 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

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