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How to use microdata for macro-finance
Sraer, David; Thesmar, David - In: Annual review of financial economics 15 (2023), pp. 387-406
Persistent link: https://www.econbiz.de/10014426321
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Hands-On Value-at-Risk and expected shortfall : a practical primer
Auer, Martin - 2018
1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...
Persistent link: https://www.econbiz.de/10013341689
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Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System
Girault, Gutierrez; Alfredo, Matias - Volkswirtschaftliche Fakultät, … - 2008
While not being widespread, stress tests of credit risk are not new in the Argentine financial system, neither for financial intermediaries nor for the Central Bank. However, they are more often based on rule-of-thumb approaches than on systematic, model based methodologies. The objective of...
Persistent link: https://www.econbiz.de/10005061660
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Micro Simulation - A Tool for Economic Analysis
Klevmarken, N. Anders - 2001
Micro simulation involves modeling the behavior of individuals and other decision units taking into account the effects … entire distribution of target variables. Micro simulation models have thus, for instance, been used to analyze how changes in … the income taxes influence the tails of the income distribution (the incidence of poverty). <p> Micro simulation …
Persistent link: https://www.econbiz.de/10010321767
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A tax benefit model for policy evaluation in Luxembourg : LuxTaxBen
Islam, Nizamul; Flood, Lennart - 2015
We develop a behavioural micro simulation model (LuxTaxBen) that contains very precise information on income tax rules …
Persistent link: https://www.econbiz.de/10011289233
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A long-term evaluation of recent Hungarian pension reforms
Freudenberg, Christoph; Berki, Tamás; Reiff, Ádám - 2016
stability of the Hungarian public pension system. For the adequacy analysis, we use a micro simulation model to project future …
Persistent link: https://www.econbiz.de/10011515910
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The impact of demographic changes on social security payments and the individual income tax base : long-term micro-simulation approach
Matsuda, Kazuya; Ozeki, Yumiko; Kikuta, Kazuaki; Ueda, Junji - In: Public policy review 10 (2014) 3, pp. 481-517
Persistent link: https://www.econbiz.de/10010431326
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Recovering income distributions from aggregated data via micro-simulations
Moral-Arce, Ignacio; Heras Perez, Antonio de las; … - In: Spanish journal of statistics 1 (2019) 1, pp. 13-29
For the studies of wealth, inequality and poverty, the analysis of income distribution of the individuals is a crucial issue. In practice, however, only aggregated data are available, either in groups or as a few quantiles of the distribution. To perform counterfactual exercises, it is desirable...
Persistent link: https://www.econbiz.de/10012494864
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Statistical inference in micro simulation models : incorporating external information
Klevmarken, Anders - 1998
In practical applications of micro simulation models very little is usually known about the properties of the simulated … values. This paper argues that we need to apply the same rigorous standards for inference in micro simulation work as in … scientific work generally. If not, then micro simulation models will loose in credibility. The paper first discusses how the …
Persistent link: https://www.econbiz.de/10011586076
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Micro simulation : a tool for economic analysis
Klevmarken, Anders - 2001
Micro simulation involves modeling the behavior of individuals and other decision units taking into account the effects … entire distribution of target variables. Micro simulation models have thus, for instance, been used to analyze how changes in … the income taxes influence the tails of the income distribution (the incidence of poverty). Micro simulation complements a …
Persistent link: https://www.econbiz.de/10011587826