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In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...
Persistent link: https://www.econbiz.de/10010266194
Microsimulations make use of quantitative methods to analyze complex phenomena in populations. They allow modeling socioeconomic systems based on micro-level units such as individuals, households, or institutional entities. However, conducting a microsimulation study can be challenging. It often...
Persistent link: https://www.econbiz.de/10012600252
Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...
Persistent link: https://www.econbiz.de/10010841041
Persistent link: https://www.econbiz.de/10013550327
Microsimulations make use of quantitative methods to analyze complex phenomena in populations. They allow modeling socioeconomic systems based on micro-level units such as individuals, households, or institutional entities. However, conducting a microsimulation study can be challenging. It often...
Persistent link: https://www.econbiz.de/10012317769
В статье рассмотрены проблемы взаимовлияния социальных и экономических факторов на жизненный цикл инновационного проекта, определены основания возникновения...
Persistent link: https://www.econbiz.de/10011215651
Целью статьи является совершенствование методологии исследования финансовых результатов путем внедрения в отечественную практику применения современного...
Persistent link: https://www.econbiz.de/10011215656
For the interconnected power system with large-scale wind power, the problem of the small signal stability has become the bottleneck of restricting the sending-out of wind power as well as the security and stability of the whole power system. Around this issue, this paper establishes a small...
Persistent link: https://www.econbiz.de/10011211014
The goal of the article is improvement of the methodology of study of financial results through introduction into the domestic practice of application of modern instruments of methods of non-linear dynamics - catastrophe theory for analytical provision of management of profitability of clothing...
Persistent link: https://www.econbiz.de/10010855248
Since rural microfinance is a credit which grants loans without collateral and guarantees to farmers, it is considerably important to evaluate and control the household credit risk. Through establishing the evaluation index system and then using catastrophe progression theory, three common types...
Persistent link: https://www.econbiz.de/10010919108