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Neural networks for option pricing and hedging : a literature review

Ruf, Johannes; Wang, Weiguan - In: The journal of computational finance 24 (2020) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10012421955

The Calibration of Weights by Calif Tool in the Practice of the Statistical Office of the Slovak Republic

Vlacuha, Robert; Frankovic, Boris - In: Romanian Statistical Review 63 (2015) 2, pp. 153-164

available, an inferential step could enlarge precision. Calibration estimators are mostly used by statistical agencies. Since … 2005, calibration at Statistical Office of the Slovak Republic has gradually moved from intuitive methods to the use of … survey and has replaced CALMAR2 in the process of calibration of weights in the Statistical Office of the Slovak Republic. In …

Persistent link: https://www.econbiz.de/10011265053

A Small Quarterly Projection Model of the US Economy

Ermolaev, Igor; Juillard, Michel; Carabenciov, Ioan; … - International Monetary Fund (IMF) - 2008

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small...

Persistent link: https://www.econbiz.de/10005263685

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...

Persistent link: https://www.econbiz.de/10005264053

A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

Juillard, Michel; Freedman, Charles; Korshunov, Dmitry; … - International Monetary Fund (IMF) - 2008

This is the third of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small...

Persistent link: https://www.econbiz.de/10005264080

Money As Indicator for the Natural Rate of Interest

Berger, Helge; Weber, Henning - International Monetary Fund (IMF) - 2012

The natural interest rate is of great relevance to central banks, but it is difficult to measure. We show that in a standard microfounded monetary model, the natural interest rate co-moves with a transformation of the money demand that can be computed from actual data. The co-movement is of a...

Persistent link: https://www.econbiz.de/10009650625

Shocks, Financial Dependence, and Efficiency; Evidence From U.S. and Canadian Industries

Estevão, Marcello M.; Severo, Tiago - International Monetary Fund (IMF) - 2011

The paper investigates how changes in industries' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, and using industries' dependence on external funding as an identification mechanism, we show that...

Persistent link: https://www.econbiz.de/10009293770

Calibrating survey data using iterative proportional fitting (raking)

Kolenikov, Stanislav - In: Stata Journal 14 (2014) 1, pp. 22-59

In this article, I introduce the ipfraking package, which implements weight-calibration procedures known as iterative …

Persistent link: https://www.econbiz.de/10010756299

Financial innovation, the Discovery of Risk, and the U.S. Credit Crisis

Mendoza, Enrique G.; Boz, Emine - International Monetary Fund (IMF) - 2010

Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by...

Persistent link: https://www.econbiz.de/10008560424