Prof. N. M. Kiefer
Spring 2008
Econ 719: Topics in Econometrics
The topic this year will be Bayesian methods for risk analysis.
We will start out with lectures (concepts of Bayesian analysis) and move to
detailed discussions of papers.
Office hours: Tuesday 3-4; but email me or just drop in.
Links to some Bayesian Websites:
International Society for Bayesian Analysis
CMU Statistics (check StatLib)
Software:
Tinn - Editor for R Programming
Supervision:
International Convergence of Capital Standards (B2)
Risk-Based
Capital Standards: Advanced Capital Adequacy Frame-
work and Market Risk; Proposed Rules and Notices,.Federal Register, 71(185),
55830-55878.
Useful Books:
Subjective and Objective Bayesian Statistics, S. James Press, Wiley 2003
Statistical Decision Theory, James O. Berger, Springer-Verlag, 1985
Probability Theory: The Logic of Science, E. Jaynes, Cambridge 2003. Many chapters available online. This book has a lot of coverage of maximum entropy as well as insightful discussions of probability.
Operational Risk references:
Multivariate
Estimation for Operational Risk with Judicious Use of Extreme Value Theory
Mahmoud El-Gamal, Hulusi Inanoglu, and Mitch Stengel (OCC)
Tale of Tails (Boston Fed Paper)
LDA at Work (DB)
Class material
The
Foundations of Decision Under Uncertainty: An Elementary Exposition
John W. Pratt; Howard Raiffa; Robert Schlaifer
Journal of the American Statistical Association, Vol. 59, No. 306. (Jun., 1964),
pp. 353-375.
Default Estimation and
Expert Information (updated 2/7)
Bayes
Estimates for the Linear Model
D. V. Lindley; A. F. M. Smith
Journal of the Royal Statistical Society. Series B (Methodological), Vol. 34,
No. 1. (1972), pp. 1-41.
Bayesian
Analysis in Applications of Hierarchical Models: Issues and Methods (JSTOR
link)
Michael H. Seltzer; Wing Hung Wong; Anthony S. Bryk
Journal of Educational and Behavioral Statistics > Vol. 21, No. 2 (Summer,
1996), pp. 131-167
Eliciting
Expert Beliefs in Substantial Practical Applications
A. O'Hagan
The Statistician, Vol. 47, No. 1. (1998), pp. 21-35.
Experiences
in Elicitation
Joseph B. Kadane; Lara J. Wolfson
The Statistician, Vol. 47, No. 1. (1998), pp. 3-19.
Discussion
on the Papers on `Elicitation'
The Statistician, Vol. 47, No. 1. (1998), pp. 55-68.
Default Estimation, Correlated Defaults and Expert Information
4/3 Presentation:
Capital and Risk: New Evidence on Implications
of Large Operational Losses
4/10 Presentation: The Smooth Colonel Meets the Reverend
4/17: B. Efron and C. Morris, Stein's Estimation Rule and its Competitors--An Empirical Bayes Approach
4/17: J. Deely and D. Lindley, Bayes Empirical Bayes
4/24: LEARNING
UNDER AMBIGUITY.
Larry G. Epstein and Martin Schneider. This should be read carefully by everyone
ahead of class. We will all discuss portions.