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Two Index Theorems for Bandit Problems.

Banks, J.s.; Sunderam, R.K. - University of Rochester - Center for Economic Research … - 1991

Persistent link: https://www.econbiz.de/10005503952

Denumerable-Armed Bandits.

Banks, J.s.; Sunderam, R.K. - University of Rochester - Center for Economic Research … - 1991

Persistent link: https://www.econbiz.de/10005504005

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Inverting Bernoulli's theorem: the original sin

Szafarz, Ariane; De Scheemaekere, Xavier - Centre Emile Bernheim, Solvay Brussels School of … - 2008

Laplace’s definition of probability in terms of equi-possible outcomes as well as to von Mises’ frequentist approach. On the … opposite, Kolmogorov’s analytical axiomatization of probability theory enables a priori and a posteriori probabilities to … probability. Therefore, only in Kolmorogorov’s formalism is statistical inference rigorously framed. …

Persistent link: https://www.econbiz.de/10004998514

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Two-Stage Stochastic Integer Programming. A Survey.

Schultz, R.; Stougie, L.; Van Der Vlerk, M. - SOM Research Institute, Faculteit Economie en Bedrijfskunde - 1993

Persistent link: https://www.econbiz.de/10005626110

Measuring and Analyzing Sovereign Risk with Contingent Claims

Gapen, Michael T.; Gray, Dale F.; Lim, Cheng Hoon; … - International Monetary Fund (IMF) - 2005

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a...

Persistent link: https://www.econbiz.de/10005605090

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate …

Persistent link: https://www.econbiz.de/10005605330

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating …

Persistent link: https://www.econbiz.de/10005825666

Banking Stability Measures

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2009

This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii)...

Persistent link: https://www.econbiz.de/10005826223