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Centrality-based capital allocations
Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10010471625
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Mathematics of economics and business
Werner, Frank; Sotskov, Jurij Nazarovič - 2006
For all students who wish to understand current economic and business literature, knowledge of mathematical methods has become a prerequisite. Clear and concise, with precise definitions and theorems, Werner and Sotskov cover all the major topics required to gain a firm grounding in this subject...
Persistent link: https://www.econbiz.de/10012627500
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Causes, correlates and consequences of death among older adults : some methodological approaches and substantive analyses
Behrman, Jere R.; Sickles, Robin C.; Taubman, Paul J. - 1998
Persistent link: https://www.econbiz.de/10000668161
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Tools for computational finance
Seydel, Rüdiger - 2006 - 3. ed.
Persistent link: https://www.econbiz.de/10003301721
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Bayesian learning and expectations formation : anything goes
Albert, Max - 1996
normative theory as well. -- Bayesianism ; Bayesian learning ; decision theory ; expectations ; learning ; rational expectations … ; rationality ; rationalizability ; subjectively expected utility theory ; subjective probability …
Persistent link: https://www.econbiz.de/10009499955
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Schelling's game theory : how to make decisions
Dodge, Robert V. - 2012
Persistent link: https://www.econbiz.de/10009509269
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Das Äquivalenzprinzip der Finanzmathematik
Walther, Ursula - 2002
The principle of equivalence in mathematics of finance compares and values cash flows. It requires a valuation of time … unified formal framework. In mathematics of finance time is valued by interest. In valuation of uncertainty one distinguishes … two approaches. The classical Bernoulli's rule rests on individual preferences while modern capital market theory offers a …
Persistent link: https://www.econbiz.de/10010512686
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Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015
In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...
Persistent link: https://www.econbiz.de/10011419593
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Investment in ICT : determinants and economic implications
Fabritz, Nadine - 2015
This study was prepared by Nadine Fabritz while she was working at the Ifo Institute for Economic Research in the Department for Human Capital and Innovation. It was completed in June 2014 and accepted as a doctoral thesis by the Department of Economics at the University of Munich in October...
Persistent link: https://www.econbiz.de/10011312803
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Nichtparametrische Schätzung bedingter Quantile in Finanzmarktdaten
Abberger, Klaus - 1994
In der Literatur wurden verschiedene parametrische Modelle zur Analyse der Heteroskedastie in Zeitreihen von Finanzmarktdaten entwickelt. Eine Möglichkeit, die bedingte Volatilität nichtparametrisch zu erfassen, ist die Kernschätzung von bedingten Quantilen. In diesem Aufsatz werden einige...
Persistent link: https://www.econbiz.de/10009774702