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

Stock Performance around Share Repurchase Announcements in Germany

Empirical studies of open-market share repurchases in the U.S. typically find a mean abnormal return around the announcement day of about 3%. In Germany share repurchases were highly restricted before May 1998. Since then firms have repurchased shares in the open market more than 250 times. Since the institutional framework differs considerably from the U.S., an analysis of the German data can give important insights. Gerke/Fleischer/Langer (2002), using a larger data set and more carefully chosen procedures than prior studies on German repurchase announcements, presented several puzzling results. We confirm that in Germany the announcement day return is considerably higher than in the U.S. and that this return is higher in Germany?s ?Neuer Markt? than in the traditional market segments. We cannot confirm their findings about bull and bear markets. When we look at subsamples based on the reasons for the repurchase stated in the announcements, we obtain results which are completely different from the results of Gerke/Fleischer/Langer (2002)

Evaluating Conditional Asset Pricing Models for the German Stock Market

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model. Unconditional model specifications however do a better job than conditional ones at capturing time-series predictability of the test portfolio returns

Alternative packet switch architectures for a 30/20 GHz FDMA/TDMA geostationary communication satellite network

This study has investigated alternatives for realizing a packet-based network switch for deployment on a communication satellite. The emphasis was on the avoidance of contention problems that can occur due to the simultaneous arrival of an excessive number of packets destined for the same downlink dwell. The study was to look ahead, beyond the current Advanced Communications Technology Satellite (ACTS) capability, to the next generation of satellites. The study has not been limited by currently available technology, but has used university and commercial research efforts as a basis for designs that can be readily constructed and launched within the next five years. Tradeoffs in memory requirement, power requirement, and architecture have been considered as a part of our study

Technical support for digital systems technology development. Task order 1: ISP contention analysis and control

Alternatives for realizing a packet-based network switch for use on a frequency division multiple access/time division multiplexed (FDMA/TDM) geostationary communication satellite were investigated. Each of the eight downlink beams supports eight directed dwells. The design needed to accommodate multicast packets with very low probability of loss due to contention. Three switch architectures were designed and analyzed. An output-queued, shared bus system yielded a functionally simple system, utilizing a first-in, first-out (FIFO) memory per downlink dwell, but at the expense of a large total memory requirement. A shared memory architecture offered the most efficiency in memory requirements, requiring about half the memory of the shared bus design. The processing requirement for the shared-memory system adds system complexity that may offset the benefits of the smaller memory. An alternative design using a shared memory buffer per downlink beam decreases circuit complexity through a distributed design, and requires at most 1000 packets of memory more than the completely shared memory design. Modifications to the basic packet switch designs were proposed to accommodate circuit-switched traffic, which must be served on a periodic basis with minimal delay. Methods for dynamically controlling the downlink dwell lengths were developed and analyzed. These methods adapt quickly to changing traffic demands, and do not add significant complexity or cost to the satellite and ground station designs. Methods for reducing the memory requirement by not requiring the satellite to store full packets were also proposed and analyzed. In addition, optimal packet and dwell lengths were computed as functions of memory size for the three switch architectures

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : Eine empirische Analyse

Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche Streuung von Renditen abbilden und Portfolio-Renditen im Querschnitt erklären können. Analog zu vergleichbar angelegten Studien am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen-Regressionen, dass ein Dreifaktorenmodell, das neben der Überschussrendite des Aktienmarktes zwei weitere Risikofaktoren des Aktienmarktes enthält (die sich aus dem Marktwert sowie dem Quotienten aus Buch- und Marktwert ableiten), eine wesentlich höhere Erklärungskraft für die Überschussrendite von Aktienportfolios besitzt als das traditionelle Capital Asset Pricing Model. Dagegen weisen zwei Risikofaktoren des Anleihenmarktes (die sich aus der Zinsstruktur und dem Ausfallrisiko ableiten) in einem Fünffaktorenmodell keinen zusätzlichen Erklärungsgehalt auf. Gegenüber den USA und Kanada kann das Dreifaktorenmodell allerdings für die Bundesrepublik Deutschland die zeitliche Streuung von Aktienrenditen nur schlechter abbilden. Dagegen werden Portfolio-Renditen im Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt

Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse

Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche Streuung von Renditen abbilden und Portfolio-Renditen im Querschnitt erklären können. Analog zu vergleichbar angelegten Studien am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass ein Dreifaktorenmodell, das neben der Überschussrendite des Aktienmarktes zwei weitere Risikofaktoren des Aktienmarktes enthält (die sich aus dem Marktwert sowie dem Quotienten aus Buch- und Marktwert ableiten), eine wesentlich höhere Erklärungskraft für die Überschussrendite von Aktienportfolios besitzt als das traditionelle Capital Asset Pricing Model. Dagegen weisen zwei Risikofaktoren des Anleihenmarktes (die sich aus der Zinsstruktur und dem Ausfallrisiko ableiten) in einem Fünffaktorenmodell keinen zusätzlichen Erklärungsgehalt auf. Gegenüber den USA und Kanada kann das Dreifaktorenmodell allerdings für die Bundesrepublik Deutschland die zeitliche Streuung von Aktienrenditen nur schlechter abbilden. Dagegen werden Portfolio-Renditen im Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. --Multifaktormodelle,CAPM,Aktienrenditen

Fundamentals of rotating fluidized beds and application to particle separation

Rotating fluidized beds provide unique opportunities to exploit fluidization under higher particle forces. The centripetal force in a rotating bed is typically on the order of 10 times the force of gravity. Since the force keeping the particles in the unit is larger, the drag force can also be larger, allowing for higher gas velocities. This operating regime provides opportunities for higher mass transfer, heat transfer, gas throughput, and bubble suppression. One application for using a rotating fluidized bed in in Chemical Looping Combustion (CLC). When solid fuels are used, oxygen carrier and ash are mixed in the process. In order to maintain high carbon capture efficiencies and recyclability of the oxygen carrier, the ash needs to be separated from the oxygen carrier. This separation can be done aerodynamically since the oxygen carrier is larger and heavier then the ash. It is theorized that rotating fluidized beds could improve the separation process efficiency and throughput as compared to conventional fluidized beds. A 43cm diameter, 2.5cm thick rotating fluidized bed has been designed and constructed to investigate the application of the rotating fluidized beds to particle separation. A series of experiments have been performed to investigate the separation of glass beads (coal ash analog) from a typical chemical looping oxygen carrier. These experiments demonstrate the use of a rotating fluidized bed for particle separation as well as investigate the operational parameters that influence the efficiency of separation