Sökning: "Matej Duda"

Hittade 2 uppsatser innehållade orden Matej Duda.

1. 1. Bankruptcy Prediction: Static Logit Model versus Discrete Hazard Models Incorporating Macroeconomic Dependencies

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henning Schmidt; Matej Duda; [2010]
   Nyckelord :bankruptcy prediction; discrete-time hazard model; static logit; multi-period logit; macro dependent baseline function; Business and Economics;

   Sammanfattning : 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

3. 2. Evaluation of Various Approaches to Value at Risk

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henning Schmidt; Matej Duda; [2009]
   Nyckelord :GARCH; VaR; CAViaR; market risk measuring; coverage probability; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : 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