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Filling in the blanks : network structure and interbank contagion
Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014
unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper … entropy and also permits more robust analysis. Using the two benchmarks side by side helps identify a range of possible …
Persistent link: https://www.econbiz.de/10010249740
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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020 - This version: 30th October 2019
We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...
Persistent link: https://www.econbiz.de/10012173525
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Market failure vs. system failure as a rationale for EU regional policy? : a critique from an evolutionary economic perspective
Schmidt, Peter - 2015 - Draft
alternative evolutionary explanation of EU regional policy which is able to overcome the theory-immanent contradiction of the …
Persistent link: https://www.econbiz.de/10011479448
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The evolutionary stability of moral objections to free riding
Güth, Werner; Nitsan, Shemuʾel - 1995
Persistent link: https://www.econbiz.de/10000931728
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Complexity : a review of the classics
Furtado, Bernardo Alves; Sakowski, Patrícia Alessandra … - 2015
This text was written as part of the project Modelling of Complex Systems for Public Policy. It reviews the classical authors who jointly contributed to establish the elements of what could constitute a "science of complexity". Based on the original writings of these authors, the text discusses...
Persistent link: https://www.econbiz.de/10012057058
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Towards a theory and policy of eco-innovation : neoclassical and (co-)evolutionary perspectives
Rennings, Klaus - 1998
approaches have their merits and limits concerning a theory and policy of ecoinnovation. Neoclassical methods are most elaborated … question is if innovations toward sustainability can be treated like normal innovations or if a specific theory and policy are … social and institutional innovation in both eco-innovation theory and policy. …
Persistent link: https://www.econbiz.de/10013428160
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De-composing diversity : in-group size and out-group entropy and their relationship to neighbourhood cohesion
Koopmans, Ruud; Schaeffer, Merlin - 2013
generalized entropy measures can be used to test which of diversity’s two basic dimensions matters most: the variety of groups, or …
Persistent link: https://www.econbiz.de/10010227840
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2014
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2014
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …
Persistent link: https://www.econbiz.de/10010405480
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Measuring option implied degree of distress in the US financial sector using the entropy principle
Matros, Philipp; Vilsmeier, Johannes - 2012
2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected … Lehman crisis. -- Entropy Principle ; Risk Neutral Density ; Probability of Default ; Financial Stability Indicator ; Credit …
Persistent link: https://www.econbiz.de/10009674908