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  • 1
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Value-at-Risk (VaR) ; DPOT ; daily capital charges ; robust forecasts ; violation penalties ; optimizing strategy ; aggressive risk management ; conservative risk management ; Basel ; global financial crisis ; Finanzkrise ; Basler Akkord ; Portfolio-Management ; Risikomaß ; Prognoseverfahren ; Extremwerttheorie ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 2
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    Innsbruck: University of Innsbruck, Department of Public Finance
    Publication Date: 2018-11-23
    Description: This paper studies an evolutionary model of network formation with endogenous decay, in which agents benefit both from direct and indirect connections. In addition to forming (costly) links, agents choose actions for a coordination game that determines the level of decay of each link. We address the issues of coordination (long-run equilibrium selection) and network formation by means of stochastic stability techniques. We find that both the link cost and the trade-off between efficiency and risk-dominance play a crucial role in the long-run behavior of the system.
    Keywords: C72 ; C73 ; D83 ; D85 ; ddc:330 ; Coordination ; Networks ; Risk dominance ; stochastic stability ; Koordination ; Soziales Netzwerk ; Stochastischer Prozess ; Nichtkooperatives Spiel ; Evolutionäre Spieltheorie ; Theorie
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the selection of optimal risk models. A new approach to model selection for predicting VaR is proposed, consisting of combining alternative risk models, and we compare conservative and aggressive strategies for choosing between VaR models. We then examine how different risk management strategies performed during the 2008-09 global financial crisis. These issues are illustrated using Standard and Poor’s 500 Composite Index.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Value-at-Risk (VaR) ; daily capital charges ; violation penalties ; optimizing strategy ; risk forecasts ; aggressive or conservative risk management strategies ; Basel Accord ; global financial crisis ; Basler Akkord ; Einlagengeschäft ; Risikomaß ; Unternehmenspublizität ; Finanzkrise ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Bonn: Max Planck Institute for Research on Collective Goods
    Publication Date: 2019-10-22
    Description: The effectiveness of social interaction depends strongly on an ability to coordinate actions efficiently. In large networks, such coordination may be very difficult to achieve and may depend on the communication technology and the network structure. We examine how pre-play communication and clustering within networks affect coordination in a challenging experimental game on eight-person networks. Free-form chat is enormously effective in achieving the nonequilibrium efficient outcome in our game, but restricted communication (where subjects can only indicate their intended action) is almost entirely ineffective. We can rationalize this result with a novel model about the credibility of cheap-talk messages. This credibility is much larger with freeform message communication than with restricted communication. We are the first to model this credibility and show, both theoretically and experimentally, an interaction effect of network structure and communication technologies. We also provide a model of message diffusion, which indeed predicts that diffusion will be more rapid without clustering and is consistent with our data.
    Keywords: C71 ; C91 ; D03 ; D85 ; ddc:330 ; Networks ; Clustering ; Communication ; Credibility ; Cheap talk ; Experiment
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2019-08-22
    Description: The effectiveness of social interaction depends strongly on an ability to coordinate actions efficiently. In large networks, such coordination may be very difficult to achieve and may depend on the communication technology and the network structure. We examine how pre-play communication and clustering within networks affect coordination in a challenging experimental game on eight-person networks. Free-form chat is enormously effective in achieving the non-equilibrium efficient outcome in our game, but restricted communication (where subjects can only indicate their intended action) is almost entirely ineffective. We can rationalize this result with a novel model about the credibility of cheap-talk messages. This credibility is much larger with freeform message communication than with restricted communication. We are the first to model this credibility and show, both theoretically and experimentally, an interaction effect of network structure and communication technologies. We also provide a model of message diffusion, which indeed predicts that diffusion will be more rapid without clustering and is consistent with our data.
    Keywords: C71 ; C91 ; D03 ; D85 ; ddc:330 ; networks ; clustering ; communication ; credibility ; cheap talk ; experiment
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Bonn: Institute of Labor Economics (IZA)
    Publication Date: 2019-09-04
    Description: The effectiveness of social interaction depends strongly on an ability to coordinate actions efficiently. In large networks, such coordination may be very difficult to achieve and may depend on the communication technology and the network structure. We examine how pre-play communication and clustering within networks affect coordination in a challenging experimental game on eight-person networks. Free-form chat is enormously effective in achieving the nonequilibrium efficient outcome in our game, but restricted communication (where subjects can only indicate their intended action) is almost entirely ineffective. We can rationalize this result with a novel model about the credibility of cheap-talk messages. This credibility is much larger with freeform message communication than with restricted communication. We are the first to model this credibility and show, both theoretically and experimentally, an interaction effect of network structure and communication technologies. We also provide a model of message diffusion, which indeed predicts that diffusion will be more rapid without clustering and is consistent with our data.
    Keywords: C71 ; C91 ; D03 ; D85 ; ddc:330 ; networks ; clustering ; communication ; credibility ; cheap talk ; experiment
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2016-12-19
    Description: The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3). For this reason, the Basel Committee is considering the use of ES, which is a coherent risk measure and has already become common in the insurance industry, though not yet in the banking industry. While ES is mathematically superior to VaR in that it does not show "tail risk" and is a coherent risk measure in being subadditive, its practical implementation and large calculation requirements may pose operational challenges to financial firms. Moreover, previous empirical findings based only on means and standard deviations suggested that VaR and ES were very similar in most practical cases, while ES could be less precise because of its larger variance. In this paper we find that ES is computationally feasible using personal computers and, contrary to previous research, it is shown that there is a stochastic difference between the 97.5% ES and 99% VaR. In the Gaussian case, they are similar but not equal, while in other cases they can differ substantially: in fat-tailed conditional distributions, on the one hand, 97.5%-ES would imply higher risk forecasts, while on the other, it provides a smaller down-side risk than using the 99%-VaR. It is found that the empirical results in the paper generally support the proposals of the Basel Committee.
    Keywords: C53 ; C22 ; G32 ; G11 ; G17 ; ddc:330 ; Stochastic dominance ; Value-at-Risk ; Expected Shortfall ; Optimizing strategy ; Basel III Accord
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2016-04-21
    Description: The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Value-at-Risk (VaR) ; daily capital charges ; exogenous and endogenous violations ; violation penalties ; optimizing strategy ; risk forecasts ; aggressive or conservative risk management strategies ; Basel II Accord ; financial crisis ; Basler Akkord ; Unternehmenspublizität ; Bankenliquidität ; Risikomaß ; Risikomanagement ; Finanzkrise
    Language: English
    Type: doc-type:workingPaper
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  • 9
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    Basel: MDPI
    Publication Date: 2017-08-26
    Description: This paper considers a population of agents that are engaged in a listening network. The agents wish to match their actions to the true value of some uncertain (exogenous) parameter and to the actions of the other agents. Each agent begins with some initial information about the parameter and, in addition, is able to receive further information from their neighbors in the network. I derive a closed expression for the (interim) social welfare loss that depends on the initial information structure and on the possible pieces of information that can be gathered under the network. Then, I explore how changes in the network may affect social welfare for extreme levels of complementarity in the agents' actions. When the level of complementarity is very high, efficiency is achieved regardless of the network structure. For very low levels of complementarity in actions, efficiency can be either associated to more sparse or denser networks, depending on the size of the induced informative gains. The implications of this paper are relevant in security environments where agents are naturally interpreted as analysts who try to forecast the value of a parameter that describes a threat to security.
    Keywords: C72 ; D83 ; D84 ; D85 ; ddc:330 ; networks ; information aggregation ; beauty-contests ; strategic complementarity ; social welfare
    Language: English
    Type: doc-type:article
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  • 10
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    Frankfurt a. M.: European Central Bank (ECB)
    Publication Date: 2017-02-24
    Description: In this paper we analyse the pass-through of a commodity price shock along the food price chain in the euro area. Unlike the existing literature, which mainly focuses on food commodity prices quoted in international markets, we use a novel database that accounts for the role of the Common Agricultural Policy in the European Union. We model several departures from the linear pass-through benchmark and compare alternative specifications with aggregate and disaggregate food data. Overall, when the appropriate dataset and methodology are used, it is possible to identify a significant and longlasting food price pass-through. The results of our regressions are applied to the strong increase in food prices in the 2007-08 period; a simple decomposition exercise shows that commodity prices are the main determinant of the increase in producer and consumer prices, thus solving the pass-through puzzle highlighted in the existing literature for the euro area.
    Keywords: C32 ; C53 ; E3 ; Q17 ; ddc:330 ; food commodity prices ; inflation ; non-linearities ; Pass-Through ; Lebensmittelpreis ; Agrarpreis ; Inflation ; Regressionsanalyse ; Eurozone ; EU-Staaten
    Language: English
    Type: doc-type:workingPaper
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