The current financial crisis motivates the study of correlated defaults in financial systems. In this paper we focus on such a model which is based on Markov random fields. This is a probabilistic model where uncertainty in default probabilities incorporates expert's opinions on the default risk...

In this paper, we search for such an investment strategy that minimises the probability of default (or lifetime ruin probability) given a fixed investment amount during the accumulation phase and a fixed withdrawal rate during the annuitisation part. In solving the above-mentioned problem, we...

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...

This study examines evidence of structural breaks in models of predictable components in stock returns related to state variables such as the lagged dividend yield, Treasury bill rate, term spread and default premium. We examine a large set of size-and-industry-sorted profolios of US stocks as...

This essay contributes to observation theory by commenting on Esposito’s paper, «Economic circularities and second-order observation: the reality of ratings». The key question of that paper is summarized as: How does one calculate in the Keynesian third degree (attempting to ascertain what...

Understanding and applying complex modern financial models in real life scenarios, including the Black-Litterman model for constructing an optimal portfolio while incorporating personal views. This book provides an innovative, integrated, and methodical approach to understanding complex...

Vienas iš darbo tikslų yra sudaryti modelius, pagal kuriuos būtų galima prognozuoti Sodros pajamas pagal išlaidas, atskirų pensijų grupių išlaidas pagal jų skaičių, motinystės/tėvystės išmokas pagal apdraustųjų skaičių bei Sodros pajamas pagal šiuos kintamuosius: draudėjų...