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Statistical Contributions To Operational Risk Modeling, Daoping Yu
Statistical Contributions To Operational Risk Modeling, Daoping Yu
Theses and Dissertations
In this dissertation, we focus on statistical aspects of operational risk modeling. Specifically, we are interested in understanding the effects of model uncertainty on capital reserves due to data truncation and in developing better model selection tools for truncated and shifted parametric distributions. We first investigate the model uncertainty question which has been unanswered for many years because researchers, practitioners, and regulators could not agree on how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration—the empirical approach, the “naive” approach, the shifted approach, and the truncated approach—for fitting the loss severity distribution. …
Optimal Pairs Trading Rules, Eric Müller
Optimal Pairs Trading Rules, Eric Müller
Theses and Dissertations
This thesis derives an optimal trading rule for a pair of historically correlated stocks. When one stock's price increases and the other one's decreases, a trade of the pair is triggered. The idea is to short the winner and to long the loser with the hope that the prices of the two assets will converge again. In this thesis the spread of the two stocks is governed by a mean-reverting model. The objective is to trade the pair in such a way as to maximize an overall return. The same slippage cost is imposed on every trade. Furthermore, a local-time …