Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

In diesem Beitrag werden Arbeitsanforderungen, Ressourcen und Gesundheit von Basisarbeitenden in den Dienstleistungssektoren Handel, Finanzwesen und öffentliche Dienstleistungen untersucht. Als Datengrundlage dient die aktuelle Erhebung der BIBB/BAuA-Erwerbstätigenbefragung 2018, eine...

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions

The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control...