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Making Models Match: Replicating an Agent-Based Model
Wilensky, Uri; Rand, William - In: Journal of Artificial Societies and Social Simulation 10 (2007) 4, pp. 2-2
been replicated by anyone but the original developer. As replication is a critical component of the scientific method and a … core practice of scientists, we argue herein for an increased practice of replication in the agent-based modeling community …, and for widespread discussion of the issues surrounding replication. We begin by clarifying the concept of replication as …
Persistent link: https://www.econbiz.de/10005518567
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On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
Ley, Eduardo; Steel, Mark F.J. - Volkswirtschaftliche Fakultät, … - 2008
We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior...
Persistent link: https://www.econbiz.de/10008497674
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A dynamic approach to intraday liquidity needs
Freddy Cepeda L.; Fabio Ortega C. - BANCO DE LA REPÚBLICA - 2015
This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary concepts of payment occurs. Using the Bank of...
Persistent link: https://www.econbiz.de/10011213760
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A dynamic approach to intraday liquidity needs
Freddy Cepeda L.; Fabio Ortega C. - Banco de la Republica de Colombia - 2015
This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary concepts of payment occurs. Using the Bank of...
Persistent link: https://www.econbiz.de/10011213802
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Too-connected-to-fail Institutions and Payments System´s Stability: Assessing Challenges for Financial Authorities
León, Carlos; Machado, Clara; cepeda, Freddy; … - BANCO DE LA REPÚBLICA - 2011
The most recent episode of market turmoil exposed the limitations resulting from the traditional focus on too-big-to-fail institutions within an increasingly systemic-crisis-prone financial system, and encouraged the appearance of the too-connected-to-fail (TCTF) concept. The TCTF concept...
Persistent link: https://www.econbiz.de/10008865920
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Financial Network Systemic Risk Contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...
Persistent link: https://www.econbiz.de/10009351506
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The network structure of the CDS market and its determinants
Peltonen, Tuomas A.; Scheicher, Martin; Vuillemey, Guillaume - European Central Bank - 2013
This paper analyses the network structure of the credit default swap (CDS) market, using a unique sample of counterparties’ bilateral notional exposures to CDS on 642 sovereign and financial reference entities. We study the network structure, similarly to the literature on interbank and...
Persistent link: https://www.econbiz.de/10010693499
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Topological Conditions for Uniqueness of Equilibrium in Networks
Milchtaich, Igal - Department of Economics, Bar Ilan University - 2003
Equilibrium flow in a physical network with a large number of users (e.g., transportation, communication, and computer networks) may not be unique if the costs of the network elements are not the same for all uses. Such differences among users may arise if they are not equally affected by...
Persistent link: https://www.econbiz.de/10010861923
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Urban road network evolution mechanism based on the ‘direction preferred connection’ and ‘degree constraint’
Yuan, PengCheng; Juan, ZhiCai - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 5186-5193
The urban road network is a complex system that exhibits the properties of self-organization and emergence. Recent theoretical and empirical studies have mainly focused on the structural properties of the urban road networks. This research concentrates on some important parameters such as...
Persistent link: https://www.econbiz.de/10010742341
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The network structure of the CDS market and its determinants
Peltonen, Tuomas A.; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of Financial Stability 13 (2014) C, pp. 118-133
This paper analyses the network structure of the credit default swap (CDS) market and its determinants, using a unique dataset of bilateral notional exposures on 642 financial and sovereign reference entities. We find that the CDS network is centred around 14 major dealers, exhibits a “small...
Persistent link: https://www.econbiz.de/10011046542