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The determinants of bank's stability: A system GMM panel analysis
In: Cogent Business & Management 8 (2021) 1, pp. 1-18
This study was conducted to investigate the determinants of bank's stability in an emerging country. Data were … stability of bank. In addition, a possible finding deals with the positive influence of macroeconomic factors in the banking … sector on bank's stability. Another possibility, bank's stability in the previous year often goes hand in hand with this of …
Persistent link: https://www.econbiz.de/10012657404
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Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks 9 (2021) 4, pp. 1-25
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...
Persistent link: https://www.econbiz.de/10013200741
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Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - 2021
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...
Persistent link: https://www.econbiz.de/10012606401
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The Zombie Phenomenon in Banking and Business: a Comparative Analysis and the Origin of the Institutional Problem
Hurnyak, Ihor; Kordonska, Aleksandra - In: Comparative Economic Research. Central and Eastern Europe 22 (2019) 4, pp. 111-127
The research presents an investigation of the zombie phenomenon in banking and business. The main goals are as follows: to reveal the consequences of the threatening dynamics of nonperforming loans for the states of Central and Eastern Europe, Western Europe, the group of former USSR states, and...
Persistent link: https://www.econbiz.de/10013204619
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Loss of Stability and Emergence of Chaos in Dynamical Systems
Johnson, Russell A. - 1989
Persistent link: https://www.econbiz.de/10010334792
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Dynamic impact of the structure of the supply chain of perishable foods on logistics performance and food security
Orjuela Castro, Javier Arturo; Adarme Jaimes, Wilson - In: Journal of Industrial Engineering and Management (JIEM) 10 (2017) 4, pp. 687-710
Purpose: Understanding how the structure affects logistical performance and food security is critical in the supply chains of perishable foods (PFSC). This research proposes a system dynamics model to analyze the effects of structures: lean, agile, flexible, responsive and resilient, in the...
Persistent link: https://www.econbiz.de/10011939357
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Two-sided platforms: Dynamic pricing and multiple equilibria
Rys, Przemyslaw; Sobolewski, Maciej - 2020
The static model of two sided markets proposed by Rochet and Tirole analyses optimal pricing of a monopolistic platform at the equilibrium point. Their framework implicitly assumes that for each prices set by the platform, the equilibrium number of users on each side will be unique. However,...
Persistent link: https://www.econbiz.de/10013461501
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Complete closed-form solution to a stochastic growth model and corresponding speed of economic recovery
Feicht, Robert; Stummer, Wolfgang - 2010
We consider a continuous-time neoclassical one-sector stochastic growth model of Ramsey-type with CRRA utility and Cobb-Douglas technology, where each of the following components are exposed to exogeneous uncertainties (shocks): capital stock K, effectiveness of labor A, and labor force L; the...
Persistent link: https://www.econbiz.de/10010302618
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Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...
Persistent link: https://www.econbiz.de/10011422171
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Which model for the Italian interest rates?
Gentile, Monica; Renò, Roberto - 2002
In the recent years, di usion models for interest rates became very popular. In this paper, we try to do a selection of a suitable diffusion model for the Italian interest rates. Our data set is given by the yields on three-month BOT, from 1981 to 2001, for a total of 470 observations. We...
Persistent link: https://www.econbiz.de/10010328402