Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%) conditional quantiles of index return distributions. For extreme (0.1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different specifications of the Conditionally Autoregressive VaR (CAViaR) models.Value at Risk, nonparametric quantile regression, risk management, extreme value theory, monotonization, CAViaR

Authenticated tree parity machine key exchange

The synchronisation of Tree Parity Machines (TPMs), has proven to provide a valuable alternative concept for secure symmetric key exchange. Yet, from a cryptographer's point of view, authentication is at least as important as a secure exchange of keys. Adding an authentication via hashing e.g. is straightforward but with no relation to Neural Cryptography. We consequently formulate an authenticated key exchange within this concept. Another alternative, integrating a Zero-Knowledge protocol into the synchronisation, is also presented. A Man-In-The-Middle attack and even all currently known attacks, that are based on using identically structured TPMs and synchronisation as well, can so be averted. This in turn has practical consequences on using the trajectory in weight space. Both suggestions have the advantage of not affecting the previously observed physics of this interacting system at all.Comment: This work directly relates to cond-mat/0202112 (see also http://arxiv.org/find/cond-mat/1/au:+Kinzel/0/1/0/all/0/1

An Investigation of the Gains from Commitment in Monetary Policy

This paper proposes a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains from commitment accrue at relatively low levels of credibility. In our benchmark calibration, a commitment expected to last for only 6 quarters is enough to bridge 75% of the welfare gap between discretion and commitment. This seems to justify the well known concern of monetary policy makers about their credibility, even in a world with limited access to commitment technologiesCommitment, discretion, credibility, welfare

An Investigation of the Gains from Commitment in Monetary Policy

This paper proposes a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains from commitment accrue at relatively low levels of credibility. In our benchmark calibration, a commitment expected to last for only 6 quarters is enough to bridge 75% of the welfare gap between discretion and commitment. This seems to justify the well known concern of monetary policy makers about their credibility, even in a world with limited access to commitment technologies.Commitment, discretion, credibility, welfare

Intertemporal disturbances

Disturbances affecting agents' intertemporal substitution are the key driving force of macroeconomic fluctuations. We reach this conclusion exploiting the asset pricing implications of an estimated general equilibrium model of the U.S. business cycle with a rich set of real and nominal frictionsBusiness Cycle, Fluctuations, Euler equation, shocks, frictions

Technology-enhanced Personalised Learning: Untangling the Evidence

Technology-enhanced personalised learning is not yet common in Germany, which is why we have tasked scientists with summarising the current status of international research on the matter. This study demonstrates the great potential of technology in implementing effective personalised learning. Nevertheless, it has not been assessed yet whether the practical implementation actually works: Even in countries such as the U.S., which lead the way in using techology in classroom settings, hardly any evaluation studies have been done to prove the effectiveness of technology-enhanced personalised learning. In the light of the above, the authors make recommendations for actions to be taken in Germany to make best use of the potential of technology in providing individual support and guidance to students

Financial Network Systemic Risk Contributions

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s Value-at-risk (VaR) on the system’s VaR. Suitable statistical inference reveals a multitude of relevant risk spillover channels and determines companies’ systemic importance in the U.S. financial system. Our approach can be used to monitor companies’ systemic importance allowing for a transparent macroprudential regulation.Systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters

Politische Bildung und das Web 2.0

Aktuell erhält die Diskussion um die Rolle des Internet in der Politischen Bildung neuen Auftrieb durch die Entwicklung der sogenannten Web-2.0- Technologien, die im Vergleich zum Web 1.0 ein erheblich grösseres Potenzial zur Mitgestaltung politischer Inhalte und Prozesse und bzw. zur Partizipation bieten, aber auch neue Möglichkeiten der Kommunikation und Vernetzung eröffnen. In der vorliegenden Studie wird der Frage nachgegangen, inwieweit das Internet und speziell das Web 2.0 in der Lage sind, die in die Technik gesetzten Hoffnungen zu erfüllen. Dabei wird zunächst ausgelotet, welche Potenziale das Web 2.0 für die Politische Bildung mit Blick auf ihre didaktische Gestaltung bieten könnte. Im Anschluss daran wird auf der Basis einer Analyse des Internet-Angebots der traditionellen Anbieter Politischer Bildung (Bundes- und Landeszentralen für Politische Bildung, politische Stiftungen) sowie von Internetportalen im Bereich Politische Bildung festgestellt, welche Verbreitung Web-2.0-Angebote gegenwärtig besitzen. Schliesslich wird auf der Grundlage einer Nutzerbefragung an knapp 300 Teilnehmern virtueller politischer Bildungsangebote einer politischen Stiftung der Frage nachgegangen, wie Web-2.0-Angebote in der Politischen Bildungsarbeit aus Nutzersicht beurteilt werden