The theoretical literature on the economics of fiscal federalism has identified several potential effects of government decentralization on economic growth. Much of the traditional literature focuses on the efficiency aspects of a decentralized provision of public services. However,...

In this paper, we estimate coefficients of bankruptcy forecasting models, such as logistic and neural network models, by maximizing their discriminatory power as measured by the Area Under Receiver Operating Characteristics (AUROC) curve. A method is introduced and compared with traditional...

We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated...

We present an actuarial loss reserving technique that takes into account both claim counts and claim amounts. Separate (over-dispersed) Poisson models for the claim counts and the claim amounts are combined by a joint embedding into a neural network architecture. As starting point of the neural...

Inter-organizational relations (IORs), complex constructs existing on the verge of companies' boundaries, are a popular area of managerial and academic investigation, due to their ability to create sustainable competitive advantage. The aim of the article is to show applicability, insights and...

Differentiating between `good' and `bad' spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which...

This paper emphasises a potential purely selfish motivation for behavioural altruism. It is based on personal status seeking and the observation that individual status derives also from the groups the individual identifies with. Altruistic behaviour within the group, then, can be rationalised as...

A simple formula for non-discriminatory insurance pricing is introduced. This formula is based on the assumption that certain individual (discriminatory) policyholder information is not allowed to be used for insurance pricing. The suggested procedure can be summarized as follows: First, we...

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

This note explores machine learning based modelling approach over classical quantitative methods with a focus on modelling realized volatility of asset price over time. Initially, a few modelling assumptions of classical quantitative finance are examined using recent market data. Daily stock...