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Pillar I treatment of concentrations in the banking book - a multifactor approach

Varsányi, Zoltán - 2006

The present regulation of concentration risk does not take into consideration recent, sophisticated methods in credit risk quantification; the new Basle Capital Accord has left the regulatory treatment unchanged. Recently, substantial work has begun within the EU on this issue with the formation...

Persistent link: https://www.econbiz.de/10010322493

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10010324653

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...

Persistent link: https://www.econbiz.de/10010324702

Total Factor Productivity and the Mongolian Transition

Chessa, Antonio G.; Schouwstra, Marije C. - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10010325301

The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment

Koetse, Mark J.; Florax, Raymond J.G.M.; de Groot, … - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …

Persistent link: https://www.econbiz.de/10010325529

Possibly Ill-behaved Posteriors in Econometric Models

Hoogerheide, Lennart; van Dijk, Herman K. - 2008

sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …

Persistent link: https://www.econbiz.de/10010325728

The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...

Persistent link: https://www.econbiz.de/10010326521

Spatial dependencies of wind power and interrelations with spot price dynamics

Elberg, Christina; Hagspiel, Simeon - 2013

, we develop a stochastic simulation model that captures the full spatial dependence structure of wind power by using …

Persistent link: https://www.econbiz.de/10010332651

Sectorial shifts and inequality: How to relate macroeconomic events to inequality changes

Villalobos Barría, Carlos - 2012

This paper presents a way to explore how macroeconomic shifts cause inequality changes. It is based on the backwardness observed in the agricultural sector in rural areas. It shows why highly dualistic economies tend to be more unequal than economies with flexible and integrated labour markets....

Persistent link: https://www.econbiz.de/10010332688

VAR cointegration in VARMA models

Wagner, Martin - 1999

examined through a small simulation study. …

Persistent link: https://www.econbiz.de/10010333070