We search for evidence against the hypothesis of a non-linear relationship between inflation and growth rates for 1993-2012 Peruvian data. A family of dichotomous models provide the way to model the relationship between the those two variables' cycles. Given the acceleration/de-acceleration...

This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...

This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity re-engineering and optimization is formulated.

In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...

The rank-ordered logit model's coefficients often vary significantly with the depth of rankings used in the estimation process. The common interpretation of the unstable coefficients across ranks is that survey respondents state their more and less preferred alternatives in an incoherent manner....

The aim of this study is to analyze and compare the results from Propensity Score Matching (PSM) and Spatial Hedonic Prices (SHP) methodologies estimating value fluctuations on residential proprieties in Bogotá (Colombia). Specifically, this study examines value fluctuations on residential...

Interaction terms are often misinterpreted in the empirical economics literature by assuming that the coefficient of interest represents unconditional marginal changes. I present the correct way to estimate conditional marginal changes in a series of non-linear models including (ordered)...

The purpose of this paper was to apply the econometric models with qualitative variables in order to analyze two non academic behaviors at the level of the Romanian higher education system: cheating on the exams by copying or by direct or intermediary intervention at the professor.

An artificial neural network (hence after, ANN) is an information processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and...