Kalibrierung interner Ratingsysteme bei korrelierten Ausfallereignissen In dieser Arbeit vergleichen wir vier verschiedene Testverfahren für die Qualität der Kalibrierung interner Ratingsysteme bei korrelierten Ausfallereignissen. Zwei der Ansätze sind approximativer Natur und die anderen...

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....

In this study, performance and its basic concepts, efficiency, and productivity, are explained and performance measurement methods are discussed. The Analytical Hierarchy Process (AHP) was used to measure efficiency in multi-criteria problems and to determine the weights of criteria for...

T his paper consists in measuring the performance of some banks in Tunisia during the year 2004. This purpose we used the Data Envelopment Analysis (DEA) method under a linear programming using GAMS software. Within this analysis, we presented two banking approaches: intermediate and productive;...

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

Assessing the fairness of a decision making system with respect to a protected class, such as gender or race, is challenging when class membership labels are unavailable. Probabilistic models for predicting the protected class based on observable proxies, such as surname and geolocation for...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

We compare four different test approaches for the calibration quality of internal rating systems in the case of dependent default events. Two of them are approximation approaches and two are simulation approaches of one- and multi-factor models. We find that multi-factor models generate more...

In this study, performance and its basic concepts, efficiency, and productivity, are explained and performance measurement methods are discussed. The Analytical Hierarchy Process (AHP) was used to measure efficiency in multi-criteria problems and to determine the weights of criteria for...