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From fault tree to credit risk assessment : a case study

Gatfaoui, Hayette - 2004 - This draft: September 2004

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …

Persistent link: https://www.econbiz.de/10011513074

Empirical models of imperfect competition : a discussion

Einav, Liran (contributor); Nevo, Aviv (contributor) - 2006

Persistent link: https://www.econbiz.de/10003742957

The Consequences of Information Overload in Knowledge Based Service Economies

Debely, Joëlle; Dubosson, Magali; Fragniere, Emmanuel - 2007

We have conducted a survey research to measure the perception of the Genevese population regarding the problem of information overload. The sample size is 581. Main findings indicate that information overload is a real concern in Geneva and seems to affect the efficiency of companies. Themes...

Persistent link: https://www.econbiz.de/10014049089

Entrepreneurship : Getting Nonnormality Right

Kandel, Anatoly F.; Tsionas, Efthymios G. - 2002

Decision problems in environments with iid shocks are typically modeled as involving payoffs that follow a martingale process. The paper formalizes entrepreneurial skills as the ability to design optimal investment strategies for problems, in which payoffs do not follow a martingale. It develops...

Persistent link: https://www.econbiz.de/10014034432

Dynamics of Inductive Inference in a Unified Framework

Gilboa, Itzhak - 2011

We present a model of inductive inference that includes, as special cases, Bayesian reasoning, case-based reasoning, and rule-based reasoning. This unified framework allows us to examine, positively or normatively, how the various modes of inductive inference can be combined and how their...

Persistent link: https://www.econbiz.de/10013122230

Longevity Hedge Effectiveness : A Decomposition

Cairns, Andrew - 2020

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...

Persistent link: https://www.econbiz.de/10012832832

Subjectivity in inductive inference

Gilboa, Itzhak; Samuelson, Larry - In: Theoretical economics : TE ; an open access journal in … 7 (2012) 2, pp. 183-215

This paper examines circumstances under which subjectivity enhances the effectiveness of inductive reasoning. We consider agents facing a data generating process who are characterized by inference rules that may be purely objective (or data-based) or may incorporate subjective considerations....

Persistent link: https://www.econbiz.de/10011690761

Pay attention or pay extra : evidence on the compensation of investors for the implicit credit risk of structured products

Arnold, Marc; Schuette, Dustin; Wagner, Alexander F. - 2014

We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers do not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices no longer neglect this risk. We also measure...

Persistent link: https://www.econbiz.de/10010410201

The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates

Roesch, Daniel - 2013

With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...

Persistent link: https://www.econbiz.de/10013073399

A Note on CVA and Wrong Way Risk

Baviera, Roberto - 2015

Hull White approach to Wrong Way Risk in the computation of the Credit Value Adjustment is considered the most straightforward generalization of the standard Basel approach. The model is financially intuitive and it can be implemented by a slight modification of existing algorithms for CVA...

Persistent link: https://www.econbiz.de/10013024331

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