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...

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...

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...

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...

The collapse of former communist regime in Central and Eastern Europe opened the transition period from centrally planned to market oriented economies. Thus, the exploration of economic systems in the special situation of transition has become an interesting research topic. The exposition plan...

Empirical data show during the historical process of economic development profound structural changes in economy. One of the most important movements is from stages where the so-called tangible investments are predominant to those where intangible investments become predominant. Applying some...

Целью статьи является анализ элементарных потенциальных функций теории катастроф и формирование механизма построения модели развития предприятия, который...

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...

В статье рассмотрены проблемы взаимовлияния социальных и экономических факторов на жизненный цикл инновационного проекта, определены основания возникновения...