Similar Search Results

Designing large value payment systems: an agent based approach

Yang, Jing; Markose, Sheri; Alentorn, Amadeo - Society for Computational Economics - SCE - 2005

settlement risk in RTGS comes with excessive demands for liquidity on banks. This could lead them to adopt various delaying … tactics to minimise liquidity needs with free-riding and other â€˜badâ€™ equilibria as potential outcomes. The introduction of … hybrid systems with real-time netting is viewed as a means by which liquidity costs can be reduced while settlement risk is …

Persistent link: https://www.econbiz.de/10005132671

Interbank Lending, reserve requirements and systemic risk

iori, giulia; Jafarey, Saqib - Society for Computational Economics - SCE - 2001

opportunity each period. Invested funds mature with delay. The risk arises of failure due to insufficient liquidity. An interbank …. When banks differ in liquidity risk or in size, contagion effects become more important. Widening the interbank market can …

Persistent link: https://www.econbiz.de/10005345633

Interbank Lending, Reserve Requirements and Systemic Risk

Iori, Giulia; Jafarey, Saqib; Padilla, Francisco - Society for Computational Economics - SCE - 2003

mature with delay. This creates the risk of liquidity shortages. An interbank market lets participants pool this risk but …

Persistent link: https://www.econbiz.de/10005537830

CART analysis of qualitative variables to improve credit rating processes

Gabbi, Giampaolo; Matthias, Massimo; Lerma, Marco De - Society for Computational Economics - SCE - 2006

Qualitative behaviours of small firms are explored to forecast criticalities in the Italian credit market. We build up an evaluation process to integrate quantitative rating practices. Research method: Relevant qualitative factors to estimate the credit risk are empirically investigated by...

Persistent link: https://www.econbiz.de/10005342912

Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios

Schlottmann, Frank; Seese, Detlef - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345395

The building blocks of complexity: a unified criterion and selected applications in risk management

Seese, D.; Schlottmann, F. - Society for Computational Economics - SCE

The analysis of many complex problems and complex dynamic systems suggests that there are dependencies between high complexity and properties of the underlying structures, as the existence of large grids, non-regularities and inhomogeneous structures and irregular flows of information. These...

Persistent link: https://www.econbiz.de/10005345743

Financial Development and Property Valuation

Hussain, Sikandar; Ebrahim, M. Shahid - Society for Computational Economics - SCE - 2005

This paper investigates the impact of financial development on property valuation in a rational expectations framework by modeling the agency theoretic perspective of risk averse investors (property owners) and financiers (banks/ capital markets). In contrast to previous research, we consider a...

Persistent link: https://www.econbiz.de/10005537514

Equilibrium Specification and Structure of Technology: a Factor Substitution Analysis in French Industrial Demand of Energy

Baccar, Sourour - Society for Computational Economics - SCE - 2006

In this paper we attempt to provide evidence on the structure of technology in the three industrial branches of French economy, when capital is treated as quasi-fixed input. However instead of choosing a single functional form as an approximation to the variable cost function, modified versions...

Persistent link: https://www.econbiz.de/10005342970

Multivariate Generalizations of the Markov-Switching Model

Khaled, Mohamad - Society for Computational Economics - SCE - 2006

We present a multivariate generalization of the simple markov-switching model. We allow for the introduction of several latent processes that have a simple parametric distribution. The matrix-variate bernoulli distribution yields a flexible yet parsimonious pattern of dependence between the...

Persistent link: https://www.econbiz.de/10005342985

Smooth Transition Autoregressive (STAR) Models

Maringer, Dietmar; Meyer, Mark - Society for Computational Economics - SCE - 2006

Non-linear modeling approaches, including Smooth Transition Autoregressive (STAR) models, have attracted a great deal of attention over the last two decades. The empirical application of these models, however, is not always a straightforward task. In particular, parameter estimation and...

Persistent link: https://www.econbiz.de/10005342986

1
2
3
4
5
6
7
8
Next
Last