The real exchange rate (RER) in the literature is defined as the relative national price levels between two economies with the corresponding nominal exchange rate being an auxiliary to convert the unit of account such that two price levels are measured in a single currency. Its subject is not...

This paper finds that in a linear Stackelberg duopoly model, the follower is more likely to license a cost-reducing innovation to the leader than the leader is to the follower, regardless of whether licensing is in the form of a fixed fee or royalty per unit of output. Under fixed-fee licensing,...

This paper studies the incentive for a monopoly to license its technology. It shows that a patent-holding monopoly may be willing to license its proprietary technology to a potential competitor when such a technology transfer has a market-expanding effect

Systematic risk has been a focus for stress testing and risk capital assessment. Under the Vasicek asymptotic single risk factor model framework, entity default risk for a risk homogeneous portfolio divides into two parts: systematic and entity specific. While entity specific risk can be...

In this paper, we propose a Vasicek-type of models for estimating portfolio level probability of default (PD). With these Vasicek models, asset correlation and long-run PD for a risk homogenous portfolio both have analytical solutions, longer external time series for market and macroeconomic...

Common tree splitting strategies involve minimizing a criterion function for minimum impurity (i.e. difference) within child nodes. In this paper, we propose an approach based on maximizing a discriminatory criterion for maximum risk difference between child nodes. Maximum discriminatory...