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Title:Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk Author(s):BANULESCU, Georgiana-Denisa; DUMITRESCU, Elena-Ivona
Date:2013Type:Working PaperSeries/Number:EUI MWP; 2013/23Abstract:This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed ...
Date:2013Type:Working PaperSeries/Number:EUI MWP; 2013/23Abstract:This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts Author(s):JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...