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University of Minnesota Ph.D. dissertation. June 2011. Major: Business Administration. Advisor: Robert S. Goldstein. 1 computer file (PDF); ix, 117 pages, appendices p. 110-117.
Persistent link: https://www.econbiz.de/10009462832
We introduce a modelling paradigm which integrates credit risk and marketrisk in describing the random dynamical behaviour of the underlying fixed income assets.We then consider an asset and liability management (ALM) problem and develop a mul-tistage stochastic programming model which focuses...
Persistent link: https://www.econbiz.de/10009465480
Model uncertainty hampers consensus on the main determinants of corporate default. We employ Bayesian model averaging (BMA) techniques in order to shed light on this issue. Empirical findings suggest that the most robust determinants of corporate default are firm-specific variables such as the...
Persistent link: https://www.econbiz.de/10012530383
En este trabajo mostramos que los estándares de concesión de préstamos por parte de los bancos se ven afectados por las condiciones macroeconómicas. Utilizamos datos mensuales entre 2002 y 2015 de la Central de Información de Riesgos del Banco de España (CIRBE), que nos permiten monitorear...
Persistent link: https://www.econbiz.de/10012530605
Este documento estudia el impacto de los programas de compra de bonos soberanos implementados por el Banco Central Europeo desde 2014, centrándose en la dinámica del diferencial de rendimiento de los bonos soberanos de España y Portugal. El análisis confirma que, si bien los factores...
Persistent link: https://www.econbiz.de/10014577613
equilibrium theory of unemployment. The proposed quantitative model with ex-ante worker skill heterogeneity and two technology …
Persistent link: https://www.econbiz.de/10009438698
This paper uses an unbalanced panel data set for exporting firms from manufacturing industries in one German federal state, Lower Saxony, to investigate the micro-structure of the recent export boom. Looking at data for 1995/96 to 2001/02 it is demonstrated that a considerable number of plants...
Persistent link: https://www.econbiz.de/10009442405
This paper investigates the relative cyclical behavior of the pay of piece workers and hourly paid workers. It uses a unique data set of blue-collar workers in British engineering between 1926 and 1966. The statistics are obtained from the payrolls of firms belonging to the Engineering Employers...
Persistent link: https://www.econbiz.de/10009466007
Diese Arbeit besteht aus theoretischen und empirischen Beiträgen zur Such- und Matchingliteratur, mit Schwerpunkt auf dem deutschen Arbeitsmarkt. Das erste Kapitel beschreibt das Such- und Matchingmodell des Arbeitsmarktes sowie sein empirisches Gegenstück, den Flussansatz. Das zweite Kapitel...
Persistent link: https://www.econbiz.de/10009467002
führt zu einer höheren Volatilität und einer höheren Korrelation zwischen Arbeitslosigkeit und freien Stellen. Das dritte … substitution between the two types of labor leads to higher volatility of the model variables and higher correlation between …
Persistent link: https://www.econbiz.de/10009467051