As a generalization of k-out-of-n:F and consecutive k-out-of-n:F systems, the consecutive k-within-m-out-of-n:F system consists of n linearly ordered components such that the system fails iff there are m consecutive components which include among them at least k failed components. In this...

The methodology and uses of Monte-Carlo simulation technique are presented as applied to the analysis and assessment of risk in the evaluation of investment projects. The importance of risk analysis in investment appraisal is highlighted and the stages in the process introduced. The results...

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the...

This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...

The paper proposes an extension of the symmetric Baxter-King band pass filter to an asymmetric Baxter-King filter. The optimal correction scheme of the ideal filter weights is the same as in the symmetric version, i.e, cut the ideal filter at the appropriate length and add a constant to all...

In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...

Determination of the lag length of an autoregressive process is one of the most difficult parts of ARIMA modeling. Various lag length selection criteria (Akaike Information Criterion, Schwarz Information Criterion, Hannan-Quinn Criterion, Final Prediction Error, Corrected version of AIC) have...

This paper analyzes a growing group of fixed T dynamic panel data estimators with a multi-factor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlying set of basic assumptions. Furthermore, we...

A common problem in the empirical production analysis at the firm-level is that the initial values of capital are often missing in the data. Most empirical studies impute initial capital according to some ad hoc criteria based on a single arbitrary proxy. This paper evaluates the bias of...