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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Instituut - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011256282

Strategies and Evolution in the Minority Game: A Multi- Round Strategy Experiment

Linde, Jona; Sonnemans, Joep; Tuinstra, Jan - Tinbergen Instituut - 2013

This discussion paper resulted in a publication in Games and Economic Behavior (2014). Volume 86, pages 77-95. Minority games are a stylized description of strategic situations with both coordination and competition. These games are widely studied using either simulations or laboratory...

Persistent link: https://www.econbiz.de/10011256405

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...

Persistent link: https://www.econbiz.de/10011256462

In and Out of Equilibrium: Evolution of Strategies in Repeated Games with Discounting

Veelen, Matthijs van; Garcia, Julian - Tinbergen Instituut - 2010

not too rare to be found by a reasonable mutation process, and that typical simulation paths take the population from …

Persistent link: https://www.econbiz.de/10011256823

Total Factor Productivity and the Mongolian Transition

Chessa, Antonio G.; Schouwstra, Marije C. - Tinbergen Instituut - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10011256958

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

Persistent link: https://www.econbiz.de/10011256964

Market Power in Bilateral Oligopoly Markets with Nonexpandable Infrastructures

Funaki, Yukihiko; Houba, Harold; Motchenkova, Evgenia - Tinbergen Instituut - 2012

costs. Threats to switch suppliers set maximal fees. These also arise from a negotiation model that extends price …

Persistent link: https://www.econbiz.de/10011255451

Asymmetric Nash Solutions in the River Sharing Problem

Houba, Harold; Laan, Gerard van der; Zeng, Yuyu - Tinbergen Instituut - 2013

This discussion paper resulted in a publication in Strategic Behavior and the Environment, 2014, 4, 321-360. We study multiple agents along a general river structure that is expressed by a geography matrix and who have access to limited local resources, quasi-linear preferences over water and...

Persistent link: https://www.econbiz.de/10011256978

Stochastic Orders of Proposing Players in Bargaining

Houba, Harold - Tinbergen Instituut - 2005

The bargaining model with stochastic order of proposing players is properly embedded in continuous time and it is strategically equivalent to the alternating offers model. For all parameter values, the pair of equilibrium proposals corresponds to the Nash bargaining solution of a modified...

Persistent link: https://www.econbiz.de/10011255513

Alternating Offers in Economic Environments

Houba, Harold - Tinbergen Instituut

This discussion paper resulted in an article in Economics Letters (2007). Vol. 96, pp. 316-324. The Nash bargaining solution of a modified bargaining problem in the contract space yields the pair of stationary subgame perfect equilibrium proposals in the alternating offers model, also for...

Persistent link: https://www.econbiz.de/10011256390