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Sound deposit insurance pricing using a machine learning approach
Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks 7 (2019) 2, pp. 1-18
While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard...
Persistent link: https://www.econbiz.de/10013200463
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A parameterization of models for unit root processes: Structure theory and hypothesis testing
Bauer, Dietmar; Matuschek, Lukas; de Matos Ribeiro, Patrick - In: Econometrics 8 (2020) 4, pp. 1-54
We develop and discuss a parameterization of vector autoregressive moving average processes with arbitrary unit roots … and (co)integration orders. The detailed analysis of the topological properties of the parameterization - based on the …
Persistent link: https://www.econbiz.de/10012696305
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International price transmission in CGE models : how to reconcile econometric evidence and endogenous model response?
Siddig, Khalid Hassan Ali; Grethe, Harald - In: Economic modelling 38 (2014), pp. 12-22
Persistent link: https://www.econbiz.de/10010418227
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Identifying bank outputs and inputs with a directional technology distance function
Guarda, Paolo; Rouabah, Abdelaziz; Vardanyan, Michael - In: Journal of productivity analysis 40 (2013) 2, pp. 185-195
Persistent link: https://www.econbiz.de/10010221699
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Does parameterization affect the complexity of agent-based models?
Kukacka, Jiri; Kristoufek, Ladislav - In: Journal of economic behavior & organization : JEBO 192 (2021), pp. 324-356
Persistent link: https://www.econbiz.de/10013188553
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A parameterization of models for unit root processes : structure theory and hypothesis testing
Bauer, Dietmar; Matuschek, Lukas; Ribeiro, Patrick de Matos - In: Econometrics : open access journal 8 (2020) 4/42, pp. 1-54
We develop and discuss a parameterization of vector autoregressive moving average processes with arbitrary unit roots … and (co)integration orders. The detailed analysis of the topological properties of the parameterization - based on the …
Persistent link: https://www.econbiz.de/10012312162
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A note on parameterizing input distance functions : does the choice of a functional form matter?
Färe, Rolf; Vardanyan, Michael - In: Journal of productivity analysis 45 (2016) 2, pp. 121-130
Persistent link: https://www.econbiz.de/10011631430
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The inverse 1-center problem on cycles with variable edge lengths
Nguyen Kien Trung - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 263-274
Persistent link: https://www.econbiz.de/10011965640
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Sound deposit insurance pricing using a machine learning approach
Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks : open access journal 7 (2019) 2/45, pp. 1-18
While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard...
Persistent link: https://www.econbiz.de/10012019237
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Progressive-Stepping-Based Non-Dominated Sorting Genetic Algorithm for Multi-Objective Optimization
Baviskar, Akshay; Krishnapillai, Shankar - In: International Journal of Applied Evolutionary … 7 (2016) 3, pp. 17-49
This paper demonstrates two approaches to achieve faster convergence and a better spread of Pareto solutions in fewer numbers of generations, compared to a few existing algorithms, including NSGA-II and SPEA2 to solve multi-objective optimization problems (MOP's). Two algorithms are proposed...
Persistent link: https://www.econbiz.de/10012042700