This paper represents an empirical research of the growth process in the Russian banking sector during 2004-2010 years. The growth process is modelled by Markov chains. Nine states were used to describe the growth process. Markov chain stationarity check revealed three homogeneous periods. The...

We conduct a comparison of the two past decades in terms of US banks' capitalization mobility and persistence, adopting a Markov Chain setup, based on the FDIC discretized version of capital ratio. We document several substantial differences in the anatomy of the two periods. In particular,...

Innovative transition matrix techniques are used to compare extreme credit risk for Australian and US companies both prior to and during the global financial crisis (GFC). Transition matrix methodology is traditionally used to measure Value at Risk (VaR), a measure of risk below a specified...

In this work we construct a mobility index able to grasp the prevailing direction in the evolution of a given set of statistical units. We consider the case of dynamics ruled by a transition matrix, whose states are based on an ordered economic variable (firm size or income, among others) such...

Credit migration is an essential component of credit portfolio modeling. In this paper, we outline a framework for gauging the effects of credit migration on portfolio risk measurements. For a typical loan portfolio, we find credit migration can explain as much as 51% of volatility and 35% of...

In spite of its predominant economic weight in developing countries, little is known about informal sector income dynamics vis-à-vis the formal sector. Some works have been done in this field using household surveys, but they only consider some emerging Latin American countries (Argentina,...

In spite of its predominant economic weight in developing countries, little is known about the informal sector earnings structure compared to that of the formal sector. Taking advantage of the rich VHLSS dataset in Vietnam, in particular its three wave panel data (2002, 2004, 2006), we assess...

Borrowing from our experience in agent-based computational economic research from `bottom-up', this paper considers economic system as multi-level dynamical system that micro-level agents' interaction leads to structural transition in meso-level, which results in macro-level market dynamics with...

This article investigates the importance of capital assets in moving out of poverty by reviewing the Samurdhi (Prosperity) Development Programme (SDP) implemented to eradicate poverty of Sri Lanka in 1995. One hundred and seventy beneficiaries from a randomly selected sample of the Ratnapura...

This paper explores the mechanisms behind the intergenerational earnings mobility in Spain by means of three exercises: calculating the transition matrix, decomposing the sources of earnings elasticity and estimating quantile earnings regressions. By calculating the transition matrices we find a...