Asymmetric effects of the business cycle on bank credit risk

Prior empirical research on the relation between credit risk and the business cycle has failed to properly investigate the presence of asymmetric effects. To fill this gap, we examine this relation both at the aggregate and the bank level exploiting a unique dataset on Italian banks’ borrowers’ default rates. We employ threshold regression models that allow to endogenously establish different regimes identified by the thresholds over/below which credit risk is more/less cyclical. We find that not only are the effects of the business cycle on credit risk more pronounced during downturns but cyclicality is also higher for those banks with riskier portfolios.     

An Algorithmic Approach to Optimal Asset Liquidation Problems

This paper examines discrete-time optimal control problems arising in the context of optimal asset liquidation using recently published algorithms and code. We address these questions within a realistic framework, assuming that the order placement decisions must be adapted dynamically. Furthermore, we show how a duality-based technique can be used to assess the quality of our numerical solution.     

Are moving average trading rules profitable? Evidence from the European stock markets

This article examines the profitability of several simple technical trading rules for 16 European stock markets over the 1990 to 2006 period. Our results indicate that increasing moving average rules indeed have predictive power being able to discern recurring price patterns for profitable trading, even after accounting for the effects of data snooping bias. To assess the profitability of different technical trading rules and strategies, we adopt the White's (2000) Reality Check (RC) test that quantifies the data snooping bias and adjusts for its effects. Our empirical results also support the hypothesis that technical trading rules can outperform the buy and hold strategy after accounting for transaction costs.     

Pricing electricity risk by interest rate methods

We address a method for pricing electricity contracts based on the valuation of the ability to produce power, which is considered as the true underlying factor for electricity derivatives. This approach shows that an evaluation of free production capacity provides a framework where a change-of-numeraire transformation converts the electricity forward market into the common settings for money market modelling. Using the toolkit of interest rate theory, we derive explicit option pricing formulas.     

The Delphi method: Substance,context, a critique and an annotated bibliography

This paper is concerned with a methodology for efficiently obtaining concensus from a panel of evaluators on questions which are shrouded in uncertainty and can not be measured or evaluated in the classical sense. The methodology and its historical development are described, it is placed in context vis-a-vis other methods of subjective scaling, and a critique is provided. An extensive and current annotated bibliography is presented.     

A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones

In this paper, a new model to analyze the comovements in the volatilities of a portfolio is proposed. The Pure Variance Common Features model is a factor model for the conditional variances of a portfolio of assets, designed to isolate a small number of variance features that drive all assets’ volatilities. It decomposes the conditional variance into a short-run idiosyncratic component (a low-order ARCH process) and a long-run component (the variance factors). An empirical example provides evidence that models with very few variance features perform well in capturing the long-run common volatilities of the equity components of the Dow Jones.     

Ungleicher Informationsfluss

Ohne Zusammenfassung     

Dissecting preference heterogeneity in consumer stated choices

This paper investigates alternative methods to account for preference heterogeneity in choice experiments. Heterogeneity can be explained by assuming its influence to impact the systematic component of utility, the stochastic one or both. Seven different models were estimated to search for heterogeneity along the three dimensions described. The comparison based on model performance and willingness to pay measures shows that methods to search for heterogeneity are not independent one from the other and might produce substantially different results giving rise to different policy implications.