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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

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

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

The evolutionary stability of moral objections to free riding

Güth, Werner; Nitsan, Shemuʾel - 1995

Persistent link: https://www.econbiz.de/10000931728

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

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

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

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

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

Evolutionary determinants of war

Konrad, Kai A.; Morath, Florian - 2013

This paper considers evolutionarily stable decisions about whether to initiate violent conflict rather than accepting a peaceful sharing outcome. Focusing on small sets of players such as countries in a geographically confined area, we use Schaffer's (1988) concept of evolutionary stability. We...

Persistent link: https://www.econbiz.de/10009744560