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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...
Persistent link: https://www.econbiz.de/10012906892
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...
Persistent link: https://www.econbiz.de/10012937173
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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009
-economic shock measurement …
Persistent link: https://www.econbiz.de/10003831692
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers
Silverstein, Brian - 2022
This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …
Persistent link: https://www.econbiz.de/10014236189
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On the Effectiveness of Loan-to-Value Regulation in a Multiconstraint Framework
Grodecka-Messi, Anna - 2018
Models in the infinite horizon macro-housing literature often assume that borrowers are constrained exclusively by the loan-to-value (LTV) ratio. Motivated by the Swedish micro-data, I explore an alternative arrangement where borrowers are constrained by the feasibility of repayment, but choose...
Persistent link: https://www.econbiz.de/10012928711
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On the Effectiveness of Loan-to-Value Regulation in a Multiconstraint Framework
Grodecka-Messi, Anna - 2018
Models in the infinite horizon macro-housing literature often assume that borrowers are constrained exclusively by the loan-to-value (LTV) ratio. Motivated by the Swedish micro-data, I explore an alternative arrangement where borrowers are constrained by the feasibility of repayment, but choose...
Persistent link: https://www.econbiz.de/10012931045
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Optimal dividend policy with random interest rates
Akyildirim, Erdinç; Güney, Ethem; Rochet, Jean-Charles; … - 2013
Persistent link: https://www.econbiz.de/10009750651
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A Discrete Mathematical Model for Chaotic Dynamics in Economics : Kaldor's Model on Business Cycle
Orlando, Giuseppe - 2017
This paper, following Kaldor's approach, is written with the intention of interpreting fluctuations of economic systems (i.e trade cycles). In particular, a new discretized Kaldor model is proposed, which is also useful to explain what appears to be random and unpredictable, such as economic...
Persistent link: https://www.econbiz.de/10012956312
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An optimal control solution to the liquidity constraint problem
Seater, John J. - In: Economics letters 54 (1997) 2, pp. 127-134
Persistent link: https://www.econbiz.de/10001222066