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From Fault Tree to Credit Risk Assessment: A Case Study

GATFAOUI, Hayette - EconWPA - 2005

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … theory to credit risk assessment. The author explains that fault tree is one alternative approach of reliability, which …

Persistent link: https://www.econbiz.de/10005407916

A look at the Bonferroni inequality measure in a reliability framework

Giorgi, Giovanni Maria; Crescenzi, Michele - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005556394

Modeling the risk process in the XploRe computing environment

Burnecki, Krzysztof; Weron, Rafal - EconWPA - 2005

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish ﬁre losses for the...

Persistent link: https://www.econbiz.de/10005124987

AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION

Upadhyay, Bharat M.; Young, Douglas L. - EconWPA - 2004

Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk associated with various no-till transition strategies over an investment horizon. The short run rule provided more sensitivity to inter-year financial risk than other commonly used...

Persistent link: https://www.econbiz.de/10005407764

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Gutierrez, Luciano - EconWPA - 2003

This paper deals with the finite sample performance of a set of unit root tests for cross correlated panels. As is well known, univariate tests are not powerful to reject the null of a unit root for the usual economic variables while panel tests, by exploiting the large number of cross-section...

Persistent link: https://www.econbiz.de/10005407993

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better...

Persistent link: https://www.econbiz.de/10005413169

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Risk Analysis in Investment Appraisal

Savvides, Savvakis C. - EconWPA - 2004

This paper was prepared for the purpose of presenting the methodology and uses of the Monte Carlo simulation technique as applied in the evaluation of investment projects to analyse and assess risk. The first part of the paper highlights the importance of risk analysis in investment appraisal....

Persistent link: https://www.econbiz.de/10005561672