Erratum: Higher order elicitability and Osband's principle.

This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and comments on imprecisions in Propositions 4.2 and 4.4 in Fissler and Ziegel (2016)

On the road to universalism: a comparative and empirical study of the UNCITRAL Model Law on Cross-Border Insolvency

The ability of the UNCITRAL Model Law on Cross-Border Insolvency to enhance unity in bankruptcy (i.e., universalism) has been doubted. Unlike the EC Regulation on Insolvency Proceedings, it does not provide rules on international jurisdiction and automatic recognition. Thus, both recognition of foreign proceedings and relief should be sought. The Model Law (like the EC Regulation) also lacks rules for corporate groups. For these reasons, commentators have predicted that countries implementing the Model Law will exploit the discretion and flexibility enshrined in this regime to protect local interest and will avoid maximum cooperation and deference to foreign jurisdictions. Nonetheless, this paper suggests that the Model Law has the potential of facilitating unified and centralised proceedings both for single and group companies. Moreover, the paper reports the results of a comparative empirical study (which investigated Model Law decisions) demonstrating that the Model Law is in fact on the road to universalism. Recognition under the Model Law has become something of a routine, group centralisations are being facilitated and a wide range of relief is being granted. The paper nevertheless points to the current shortcomings in the application of the Model Law and where it can be improved

Dynamic semiparametric models for expected shortfall (an value-at-risk)

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR, there is little existing work on modeling ES. We use recent results from statistical decision theory to overcome the problem of “elicitability” for ES by jointly modeling ES and VaR, and propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and confirm via simulation studies that the methods have good finite-sample properties. We apply these models to daily returns on four international equity indices, and find the proposed new ES–VaR models outperform forecasts based on GARCH or rolling window models