Coverage‐adjusted Confidence Intervals for a Binomial Proportion

We consider the classic problem of interval estimation of a proportion p based on binomial sampling. The ‘exact’ Clopper–Pearson confidence interval for p is known to be unnecessarily conservative. We propose coverage adjustments of the Clopper–Pearson interval that incorporate prior or posterior beliefs into the interval. Using heatmap‐type plots for comparing confidence intervals, we show that the coverage‐adjusted intervals have satisfying coverage and shorter expected lengths than competing intervals found in the literature.     

Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions

In this paper, we introduce a new risk measure, the so‐called conditional tail moment. It is defined as the moment of order a ≥ 0 of the loss distribution above the upper α‐quantile where α ∈ (0,1). Estimating the conditional tail moment permits us to estimate all risk measures based on conditional moments such as conditional tail expectation, conditional value at risk or conditional tail variance. Here, we focus on the estimation of these risk measures in case of extreme losses (where α ↓0 is no longer fixed). It is moreover assumed that the loss distribution is heavy tailed and depends on a covariate. The estimation method thus combines non‐parametric kernel methods with extreme‐value statistics. The asymptotic distribution of the estimators is established, and their finite‐sample behaviour is illustrated both on simulated data and on a real data set of daily rainfalls.     

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

In Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]), the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in Bielecki et al. (2014b Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014b ). A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspective . In: Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.1844574) . [Google Scholar],c) where numerical illustrations assumed deterministic intensities and constant recoveries. In the present paper, we show how to incorporate stochastic default intensities and random recoveries in the bottom-up modeling framework of Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]) while preserving numerical tractability. These two features are of primary importance for applications like CVA computations on credit derivatives (Assefa et al., 2011 Assefa , S. , Bielecki , T. R. , Crépey , S. , Jeanblanc , M. ( 2011 ). CVA computation for counterparty risk assessment in credit portfolios . In: Bielecki , T.R. , Brigo , D. , Patras , F. , Eds., Credit Risk Frontiers . Hoboken : Wiley/Bloomberg-Press . [Google Scholar]; Bielecki et al., 2012 Bielecki , T. R. , Crépey , S. , Jeanblanc , M. , Zargari , B. ( 2012 ). Valuation and Hedging of CDS counterparty exposure in a markov copula model . Int. J. Theoret. Appl. Fin. 15 ( 1 ): 1250004 .[Crossref] , [Google Scholar]), as CVA is sensitive to the stochastic nature of credit spreads and random recoveries allow to achieve satisfactory calibration even for “badly behaved” data sets. This article is thus a complement to Bielecki et al. (2014a Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014a ). Dynamic hedging of portfolio credit risk in a markov copula model . J. Optimiz. Theor. Applic . doi: DOI 10.1007/s10957-013-0318-4 (forthcoming) .[Crossref] , [Google Scholar]), Bielecki et al. (2014b Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014b ). A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspective . In: Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.1844574) . [Google Scholar]) and Bielecki et al. (2014c Bielecki , T. R. , Cousin , A. , Crépey , S. , Herbertsson , A. ( 2014c ). A bottom-up dynamic model of portfolio credit risk - Part II: Common-shock interpretation, calibration and hedging issues . Recent Adv. Fin. Eng. 2012 , World Scientific (preprint version available at http://dx.doi.org/10.2139/ssrn.2245130) . [Google Scholar]).     

Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

We devise simulation/regression numerical schemes for pricing the CVA on CDO tranches, where CVA stands for Credit Valuation Adjustment, or price correction accounting for the defaultability of a counterparty in an OTC derivatives transaction. This is done in the setup of a continuous-time Markov chain model of default times, in which dependence between credit names is represented by the possibility of simultaneous defaults. The main idea of this article is to perform the nonlinear regressions which are used for computing conditional expectations, in the time variable for a given state of the model, rather than in the space variables at a given time in diffusive setups. This idea is formalized as a lemma which is valid in any continuous-time Markov chain model. It is then implemented on the targeted application of CVA computations on CDO tranches.     

Flexible pair-copula estimation in D-vines using bivariate penalized splines

The paper presents a new method for flexible fitting of D-vines. Pair-copulas are estimated semi-parametrically using penalized Bernstein polynomials or constant and linear B-splines, respectively, as spline bases in each knot of the D-vine throughout each level. A penalty induce smoothness of the fit while the high dimensional spline basis guarantees flexibility. To ensure uniform univariate margins of each pair-copula, linear constraints are placed on the spline coefficients and quadratic programming is used to fit the model. The amount of penalizations for each pair-copula is driven by a penalty parameter which is selected in a numerically efficient way. Simulations and practical examples accompany the presentation.     

Listen to What I Say,Not How I Vote: Congressional Support for the President in Washington and at Home*

Objectives. Are legislators' party affiliations or is district partisanship the greatest predictor of legislative support of the president? Do members of the U.S. House emphasize different policy positions when casting roll calls than when communicating their positions to constituents? We theorize that party is less important in legislators' district‐oriented behavior than in roll‐call voting. When casting roll calls, legislators are agents facing multiple principals, namely, political party leaders and their district constituencies. When engaging in district‐oriented behavior, the only key principal is the legislator's constituency. Methods. We analyze legislators' positions on roll calls and in platforms. Platforms are examined with a unique data set of franked mass mailings sent by House members. Linear and limited dependent variable models are employed. Results. Our findings show that constituency preferences are a more consistent predictor of legislative support for the president when analyzing legislators' platforms, and that political party has a relatively limited effect. When analyzing roll‐call votes, party is the key predictor. Conclusions. Political parties may be interested in what legislators do as opposed to what they say. The platform findings are in contrast to most recent empirical work examining position taking, though consistent with the canonical works of Mayhew and Fenno. This has implications for theories of parties in Congress that tie party behavior in the legislature to partisanship in the electorate.     

The impossibility of unbiased judgment aggregation

Standard impossibility theorems on judgment aggregation over logically connected propositions either use a controversial systematicity condition or apply only to agendas of propositions with rich logical connections. Are there any serious impossibilities without these restrictions? We prove an impossibility theorem without requiring systematicity that applies to most standard agendas: Every judgment aggregation function (with rational inputs and outputs) satisfying a condition called unbiasedness is dictatorial (or effectively dictatorial if we remove one of the agenda conditions). Our agenda conditions are tight. When applied illustratively to (strict) preference aggregation represented in our model, the result implies that every unbiased social welfare function with universal domain is effectively dictatorial.     

The potential power of social policy programmes: income redistribution,economic resources and health

Lundberg O, Fritzell J, Åberg Yngwe M, Kölegård ML. The potential power of social policy programmes: income redistribution, economic resources and health Int J Soc Welfare 2010: ??: ??–??© 2010 The Author(s), Journal compilation © 2010 Blackwell Publishing Ltd and International Journal of Social Welfare. This Supplement includes a number of articles dealing with the role of social policy schemes for public health across the life course. As a key social determinant of health, poverty and its consequences have historically been at the forefront of the public health discussion. But also in rich countries today, economic resources are likely to be important for health and survival, both on an individual and an aggregate level. This introductory article serves as a background for the more specific analyses that follow. The focus is on why income and income inequality could have an effect on individual and population health. We discuss relationships between the individual and population levels and between income and health, and some of the possible mechanisms involved. We also present arguments for why welfare state institutions may matter.     

Die nur fast gelingende Schließung des Personalentwicklungszyklus

The nearly closed cycle of personnel development. The growing popularity of personnel development like training, coaching or supervision is usually justified by the new challenges impending on organizations. The author presents an alternative explanation: Basing on considerations about the operative consistency of organizations, he argues, that the popularity of personnel development is to explain by the boom of personnel diagnostics during the last two decades. Only by potential analysis, assessment center, 360-degree feedback, several trainings and especially person-centered counseling like coaching and supervision could increase their attractiveness. In organizations, cycles of personnel development emerge, and by this a sort of all-round cares of the organisation members.