Sökning: "Henning Schmidt"
Hittade 2 uppsatser innehållade orden Henning Schmidt.
1. Bankruptcy Prediction: Static Logit Model versus Discrete Hazard Models Incorporating Macroeconomic Dependencies
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The purpose of this master thesis is to (i) compare the out-of-sample prediction power of one static logit model and two hazard models, (ii) explore whether incorporating macroeconomic patterns improves forecasting results, and (iii) examine the determinants of corporate failures from the pool of accounting and market driven variables. We perform our study on 102 US listed manufacturing firms that defaulted between 2000 and 2009. LÄS MER
2. Evaluation of Various Approaches to Value at Risk
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In the light of the current financial crisis, risk management and prediction of market losses seem to play a crucial role in finance. This thesis compares one day out-of-sample predictive performance of standard methods and conditional autoregressive VaR (CAViaR) by Engle & Manganelli (2004) for VaR (Value-at-risk) prediction of market losses. LÄS MER