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Modelling household finances : a Bayesian approach to a multivariate two-part model

Brown, Sarah; Ghosh, Pulak; Su, Li; Taylor, Karl - In: Journal of empirical finance 33 (2015), pp. 190-207

Persistent link: https://www.econbiz.de/10011556870

Household finances and social interaction : Bayesian analysis of household panel data

Brown, Sarah; Ghosh, Pulak; Taylor, Karl - 2014

types of debt and financial assets held conditional on holding the different types of debt and assets. The analysis suggests … amounts of both debt (unsecured and secured) and assets (property and non-housing), even after conditioning on the probability … the household balance sheet, i.e. liabilities and assets. Additionally, we allow the influence of social interaction on …

Persistent link: https://www.econbiz.de/10010380024

Combination of linear discriminant analysis and expert opinion for the construction of credit rating models : the case of SMEs

Habachi, Mohamed; Benbachir, Saâd - In: Cogent business & management 6 (2019), pp. 1-34

The construction of an internal rating model is the main task for the bank in the framework of the IRB-foundation approach the fact that it is necessary to determine the probability of default by rating class. As a result, several statistical approaches can be used, such as logistic regression...

Persistent link: https://www.econbiz.de/10012622026

Full Bayesian inference for asymmetric Garch models with student-t innovations

Fonseca, Thaís C. O. da; Cerqueira, Vinícius dos Santos; … - 2016

In this work, we consider modeling the past volatilities through an asymmetric generalised autoregressive conditional heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown degrees of freedom and indicate how it may...

Persistent link: https://www.econbiz.de/10012059451

The Bayesian approach to capital allocation at operational risk : a combination of statistical data and expert opinion

Habachi, Mohamed; Benbachir, Saâd - In: International Journal of Financial Studies : open … 8 (2020) 1/9, pp. 1-24

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

Persistent link: https://www.econbiz.de/10012168944

Household Finances and Social Interaction : Bayesian Analysis of Household Panel Data

Brown, Sarah - 2014

of debt and financial assets held conditional on holding the different types of debt and assets. The analysis suggests … amounts of both debt (unsecured and secured) and assets (property and non-housing), even after conditioning on the probability … the household balance sheet, i.e. liabilities and assets. Additionally, we allow the influence of social interaction on …

Persistent link: https://www.econbiz.de/10013051017

US and European household debt and credit constraints

Crook, Jonathan N.; Hochgürtel, Stefan - 2007

the determinants of household debt holding and to investigate whether or not credit constraints are important for … household debt holding. We extend the existing literature in important ways. First, we present comparative evidence for four … settings for debt incidence, debt outstanding and credit constraints. We also explore the implications for debt holding from …

Persistent link: https://www.econbiz.de/10011373833

Portfolio allocation, income uncertainty and households' flight from risk

Brown, Sarah; Gray, Daniel; Harris, Mark N.; Spencer, … - 2016

riskier to safe assets. …

Persistent link: https://www.econbiz.de/10011594575

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10010295821

Forecasting Aggregate Productivity using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltan - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10010325710

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