This paper proposes a procedure for the determination of the minimal length of the historical time series of daily deposit variations in accordance with an institution’s specific risk tolerance. In a previously released paper we developed a methodology to ascertain an institutional specific...

This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution's...

This paper aims to evaluate an inference of bank internal PDs (Default Probabilities) on subsequent prepayments of variable rate institutional loans. Since variable rate loans hardly present an economic motivation for early prepayments in that they would not o er a cheaper re nancing...

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer’s point of view is documented in...