Evaluating VaR forecasts under stress: the German experience

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules

Evaluating VaR Forecasts under Stress – The German Experience

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.banking supervision, VaR, exploratory data analysis, backtesting

Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors

AbstractWe derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta–gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a serious problem in high dimension

A filtered no arbitrage model for term structures from noisy data

We consider an affine term structure model of interest rates, where the factors satisfy a linear diffusion equation. We assume that the information available to an agent comes from observing the yields of a finite number of traded bonds and that this information is not sufficient to reconstruct exactly the factors. We derive a method to obtain arbitrage-free prices of illiquid or non traded bonds that are compatible with the available incomplete information. The method is based on an application of the Kalman filter for linear Gaussian systems

Na(+)-D-glucose cotransporter SGLT1 is pivotal for intestinal glucose absorption and glucose-dependent incretin secretion.

To clarify the physiological role of Na(+)-D-glucose cotransporter SGLT1 in small intestine and kidney, Sglt1(-/-) mice were generated and characterized phenotypically. After gavage of d-glucose, small intestinal glucose absorption across the brush-border membrane (BBM) via SGLT1 and GLUT2 were analyzed. Glucose-induced secretion of insulinotropic hormone (GIP) and glucagon-like peptide 1 (GLP-1) in wild-type and Sglt1(-/-) mice were compared. The impact of SGLT1 on renal glucose handling was investigated by micropuncture studies. It was observed that Sglt1(-/-) mice developed a glucose-galactose malabsorption syndrome but thrive normally when fed a glucose-galactose-free diet. In wild-type mice, passage of D-glucose across the intestinal BBM was predominantly mediated by SGLT1, independent the glucose load. High glucose concentrations increased the amounts of SGLT1 and GLUT2 in the BBM, and SGLT1 was required for upregulation of GLUT2. SGLT1 was located in luminal membranes of cells immunopositive for GIP and GLP-1, and Sglt1(-/-) mice exhibited reduced glucose-triggered GIP and GLP-1 levels. In the kidney, SGLT1 reabsorbed ∼3% of the filtered glucose under normoglycemic conditions. The data indicate that SGLT1 is 1) pivotal for intestinal mass absorption of d-glucose, 2) triggers the glucose-induced secretion of GIP and GLP-1, and 3) triggers the upregulation of GLUT2

Wirtschaftsbauten in der antiken Stadt

Über die Wirtschaft der Antike sind wir gut informiert. Für den Waren- und Geldverkehr standen in den Städten eigene Gebäude zur Verfügung, die im römischen Reich von Speicherbauten in bedeutenden Wirtschaftszentren und Hafenorten bis zu Bank- und Börsengebäuden an den zentralen Plätzen der Städte reichten. Diese Bauten wurden von Archäologen und Bauhistorikern vielfach untersucht, wobei Bauweise und Gestaltung im Vordergrund standen. Wirtschaftshistoriker befassten sich intensiv mit Handels- und Geldgeschäften, ohne Zusammenhänge mit Baulichkeiten in den Blick zu nehmen. Interdisziplinäre Zusammenarbeit eröffnet neue Perspektiven. Mit dem Wissen über wirtschaftliche Vorgänge lassen sich Bauten besser verstehen, und Bauwerke können ökonomische Vorgänge sichtbar machen. Das wurde beim erstmaligen Gedankenaustausch zwischen den verschiedenen Forschungsdisziplinen rasch deutlich. Der vorliegende Tagungsband enthält Beiträge über Handelsformen und Handelsbeziehungen, er stellt Speichergebäude und Kaufmannshäuser vor und beleuchtet mit dem Magdalensberg bei Kärnten ein bedeutendes Zentrum der Erzgewinnung und der Metallverarbeitung. Einen besonderen Platz nimmt die römische Basilika als großartiges Bank- und Börsengebäude ein, dessen Entwicklung um 200 v. Chr. quasi schlagartig am Forum Romanum begann und die neue Vormacht Rom als Zentrum der antiken Wirtschaft und zentrale Instanz des Wirtschafts- und Steuerrechts mit neuen Maßstäben auch städtebaulich prägte. Die beiden letzten Beiträge befassen sich mit der weiteren Entwicklung des Begriffes Basilika und seinen Nachwirkungen im Kirchenbau und in der Architekturtheorie bis heute

Super-Hedging and Arbitrage Pricing in Markets with Transaction Costs and Trading Constraints

The arbitrage pricing principle has been used to derive price relations like the Black-Scholes formula and Heath-Jarrow-Morton models in the context of frictionless markets and unconstrained trading. These relations may or may not be good approximations to reality. Even if, they are certainly not enforced by real world arbitrage because of transaction costs and trading constraints

The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximations

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion -- the monotonicity of the distribution function as well as convergence are not guaranteed -- make it seem unattractive. In many practical situations, however, its actual accuracy is more than su#cient and the Cornish-Fisher-approximation can be computed faster (and simpler) than other methods like numerical Fourier inversion. This paper tries to provide a balanced view on when and when not to use Cornish-Fisher in this context