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credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress …
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In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...
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, Multivariate Adaptive Regression Splines (MARS) is used in identifying household poverty correlates in the Philippines. Models … produced by MARS are more parsimonious yet contains theoretically and empirically sound set of household poverty correlates and … have high accuracy in identifying a poor household. MARS provides a better alternative to logistic regression for a more …
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This article considers non-unitary models of household behavior. These models suppose explicitly that households … household behavior in these models are subject to constraints that differ from the traditional Slutsky conditions. In addition …, in a certain number of specific cases, the preferences of the different household members can be identified from …
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