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We provide a technique for constructing optimal multiattribute screening contracts in a general setting with one-dimensional types based on necessary optimality conditions. Our approach allows for type-dependent participation constraints and arbitrary risk profiles. As an example we discuss...
Persistent link: https://www.econbiz.de/10012978605
The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....
Persistent link: https://www.econbiz.de/10012584957
The purpose of this study is to build a system that automatically generates an optimal strategy (AGOS) which can solve the business problem of maximizing the acceptance rate without taking more risks in loan approval process. This paper formulates the finding an optimal approval strategy of a...
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An uninformed sender designs a mechanism that discloses information about her type to a privately informed receiver, who then decides whether to act. I impose a single-crossing assumption, so that the receiver with a higher type is more willing to act. Using a linear programming approach, I...
Persistent link: https://www.econbiz.de/10011856702
—the theory of recursive contracts. Recursive formulations allow us to reduce often complex models to a sequence of essentially … of the basic theory: the Revelation Principle, formulating and simplifying the incentive constraints, using promised … advanced topics: duality theory and Lagrange multiplier techniques, models with lack of commitment, and martingale methods in …
Persistent link: https://www.econbiz.de/10014024287
Banking crises can be damaging for the economy, and as the recent experience has shown, nowadays they can spread rapidly across the globe with contagious effects. Therefore, the assessment of the stability of the banking sectors is important for regulators, depositors, investors and the general...
Persistent link: https://www.econbiz.de/10013116499
The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...
Persistent link: https://www.econbiz.de/10003730601