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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

Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events

Harin, Alexander - EconWPA - 2004

The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.

Persistent link: https://www.econbiz.de/10005124993

Editorial Policy and Editorial, to appear at the front of the first issue of the new Cambridge University Press journal, Macroeconomic Dynamics.

Barnett, William A. - EconWPA - 1997

This statement outlines the objectives and policies of the new journal, Macroeconomic Dynamics, which is dedicated to the advancement of macroeconomics as a science. This Editorial is to appear at the front of the first issue of that journal and is copyright by Cambridge University Press.

Persistent link: https://www.econbiz.de/10005126416

From Fault Tree to Credit Risk Assessment: An Empirical Attempt

Gatfaoui, Hayette - EconWPA - 2003

tree, or equivalently, reliability study to assess firms’ default risk. We set a very simple framework and use French firms …

Persistent link: https://www.econbiz.de/10005412555

Governance Matters III: Governance Indicators for 1996-2002

Kaufmann, Daniel; Kraay, Aart; Mastruzzi, Massimo - EconWPA - 2003

This paper presents estimates of six dimensions of governance covering 199 countries and territories for four time periods: 1996, 1998, 2000, and 2002. These indicators are based on several hundred individual variables measuring perceptions of governance, drawn from 25 separate data sources...

Persistent link: https://www.econbiz.de/10005561191

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

Valuing defaultable bonds: an excursion time approach

Nardon, Martina - EconWPA - 2005

Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical...

Persistent link: https://www.econbiz.de/10005561733

EXPECTATIONS AND ADJUSTMENTS IN THE MONETARY SECTOR

Feige, Edgar L. - EconWPA - 2005

This paper examines the problem of appropriately specifying and estimating the money demand function in the presence of adaptive expectations and partial adjustment mechanisms. The paper demonstrates the difficulty of interpreting distributed lag reduced form representations of the monetary...

Persistent link: https://www.econbiz.de/10005076678

ALTERNATIVE TEMPORAL CROSS-SECTION SPECIFICATIONS OF THE DEMAND FOR DEMAND DEPOSITS

Feige, Edgar L. - EconWPA - 2005

This paper examines a broad set of alternative temporal cross- section specifications of the demand for money as a means of estimating the degree of substitution between demand deposits and other liquid assets. Despite differences in data bases, model specifications and estimation techniques,...

Persistent link: https://www.econbiz.de/10005076813

Detrending Time-Aggregated Data

Aadland, David - EconWPA - 2002

This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band- pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when...

Persistent link: https://www.econbiz.de/10005076833

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