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The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185
transition probabilities. Our approach is based on an optimization model. More specifically we consider two competing objectives …
Persistent link: https://www.econbiz.de/10011259232
optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the … improvement" (EI) in "efficient global optimization" (EGO) through the introduction of an unbiased estimator of the Kriging …
Persistent link: https://www.econbiz.de/10011092889
mitigate the damages and save people’s lives. Optimization and simulation modeling have become powerful and useful tools to … help decision makers tackle problems related to disaster relief supply chain. This paper reviews optimization and … optimization problems of disaster relief supply chain under different types of disastrous events. We review the literature of …
Persistent link: https://www.econbiz.de/10011110517
-management strategy for the government in its current form. Including optimization in the debt-strategy model would be useful, since it … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is …
Persistent link: https://www.econbiz.de/10003463632
Persistent link: https://www.econbiz.de/10011399615
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
Reducing emissions from deforestation and degradation (REDD) has been proposed as a potentially inexpensive and plentiful source of emission abatement to supplement other longterm climate policies. However, critics doubt that REDD credits are environmentally equivalent to domestic emission...
Persistent link: https://www.econbiz.de/10010298719
The Northern Adriatic coastland comprised between the cities of Monfalcone and Cattolica is characterised by locations of great tourist interest, such as the Venice Lagoon and the Romagna Riviera, and areas with a very precarious environmental setting, such as the Valli di Comacchio and the Po...
Persistent link: https://www.econbiz.de/10011608585
Capital allocation is used for many purposes in financial institutions and for this purpose several methods are known. The aim of this paper is to review possible methods (we present six of them) and to help financial companies to choose between the methods. There are some properties that an...
Persistent link: https://www.econbiz.de/10010494470