Rank-ordering of individuals or objects on multiple criteria has many important practical applications. A reasonably representative composite rank ordering of multi-attribute objects/individuals or multi-dimensional points is often obtained by the Principal Component Analysis, although much...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Starting from the idea that the use of multi-criteria analysis of performance within the hospital system allows a more accurate validation of employment, compared to the current methodology and seeking correlations between scores practiced economic efficiency and technical competence for all...

<em style="mso-bidi-font-style: normal;"><span lang="EN-US"><span style="font-family: Times New Roman; font-size: small;">The paper proposes a two systematic factor model to capture a retail portfolio probability of default (PD) and loss given default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind the Basel II formula and used by a number of...</span></span></em>

Many empirical studies have analyzed the interations between the stock market and aggregate economic activity by examining either their short run or long run relationships, as the time series methodologies employed (cointegration analysis) may separate out just two time scales in economic time...

Over the past decade value at risk (VaR) has become the most widely used technique for the quantification of market-risk exposure. VaR is a measure of the potential loss that may occur from adverse moves in market prices (interest rates, exchange rates, equity prices and so forth). The capacity...

This Selected Issues paper examines the external linkages of the New Zealand economy. Empirical results from vector autoregressive models suggest that economic activity in Australia tends to have more of a significant direct impact on New Zealand than does activity in the United States....

This Selected Issues paper analyzes macroeconomic fluctuations in the Eastern Caribbean Currency Union (ECCU). The paper describes data, along with the estimation technique used to ensure stationarity of the data. The empirical regularities of macroeconomic fluctuations in the ECCU are...

This Selected Issues paper analyzes the sources of Mexico’s economic growth since the 1960s, and compares various decompositions of historical growth into trend and cyclical components. The role of the implied output gaps in the inflation process is assessed. The paper presents...

We propose a coherent unified approach to the study of the linkages among economic growth, financial structure, and inequality, bringing together disparate theoretical and empirical literature. That is, we show how to conduct model-based quantitative research on transitional paths. With...