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Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
heterogeneous agent model behavioural nance herding overcon dence market sentiment stock market crash
2012/6/5
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. In particular, we analyse the dynam...
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
Impact of the first to default time on Bilateral CVA
Credit Valuation Adjustment Unilateral CVA Bilateral CVA Simplified Bilateral CVA Debit Valuation Adjustment Closeout Equity Forward Contract
2011/7/4
We compare two different bilateral counterparty valuation adjustment (BVA) formulas.
The first formula is an approximation and is based on subtracting the two unilateral
Credit Valuation Adjustment ...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...