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Risk and the role of collateral in debt renegotiation

Neus, Werner; Stadler, Manfred - 2011

In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects … are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic … dominance criterion introduced by ROTHSCHILD AND STIGLITZ [1970], we show that it is not a project's high risk, induced by a …

Persistent link: https://www.econbiz.de/10010305873

Pro-poor indirect tax reforms, with an application to Mexico

Araar, Abdelkrim; Duclos, Jean-Yves; Makdissi, Paul - 2012

This paper proposes a methodology for testing for whether tax reforms are pro-poor. This is done by extending stochastic dominance techniques to identify tax reforms that will be deemed absolutely or relatively pro-poor by a wide spectrum of poverty analysts. The statistical properties of the...

Persistent link: https://www.econbiz.de/10014000643

Real estate listings and their usefulness for hedonic regressions

Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel - In: Empirical Economics 61 (2021) 6, pp. 3239-3269

Real estate platforms provide a new source of data which has already been used as a substitute for transaction data in hedonic regression applications. This paper asks whether it is valid to do so in the established research areas of (1) willingness to pay estimation, (2) automated valuations,...

Persistent link: https://www.econbiz.de/10014497601

Desigualdad de oportunidades en educación e ingresos laborales en Bolivia

Tordoya, Adriana - 2024

This study addresses inequality of opportunities in access to education for the school-age population and in labor income for the working-age population in Bolivia. Stochastic dominance criteria are used to evaluate the existence of these inequalities. Subsequently, we approximate them using...

Persistent link: https://www.econbiz.de/10014540948

Apportioning of risks via stochastic dominance

Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random … way, we can extend and generalize existing results about risk attitudes. This lottery preference includes behavior … exhibiting higher order risk effects, such as precautionary effects and tempering effects. …

Persistent link: https://www.econbiz.de/10010264492

Modelling and forecasting multivariate realized volatility

Chiriac, Roxana; Voev, Valeri - 2008

-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk …

Persistent link: https://www.econbiz.de/10010266934

Pro-poor tax reforms, with an application to Mexico

Duclos, Jean-Yves; Makdissi, Paul; Araar, Abdelkrim - 2009

This paper proposes a methodology for testing for whether tax reforms are pro-poor. This is done by extending stochastic dominance techniques to help identify tax reforms that will necessarily be deemed absolutely or relatively pro-poor by a wide spectrum of poverty analysts. The statistical...

Persistent link: https://www.econbiz.de/10010269499

Testing for poverty dominance: an application to Canada

Chen, Wen-Hao; Duclos, Jean-Yves - 2008

The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...

Persistent link: https://www.econbiz.de/10010272033

A note on skewness seeking: an experimental analysis

Brünner, Tobias; Levínský, René; Qiu, Jianying - 2007

In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We ¯nd that the skewness of a distribution has a...

Persistent link: https://www.econbiz.de/10010275666

Skewness preferences and asset selection: An experimental study

Bruenner, Tobias; Levinsk´y, Rene; Qiu, Jianying - 2009

In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...

Persistent link: https://www.econbiz.de/10010294775