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Entropy, competitiveness and UEFA football ranking
Ferreira, Paulo - Volkswirtschaftliche Fakultät, … - 2015
This paper intends to explore the utilization of entropy through football, generalizing the interpretation of entropy … more leveled, have a better UEFA ranking. Correlating entropy with UEFA ranking, we find evidence of that relationship …
Persistent link: https://www.econbiz.de/10011210471
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Application of measures of entropy, information content and dissimilarity of structures to business tendency survey data
Tomczyk, Emilia - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2010
uniform, leading to high entropy, .. entropy of prices is relatively low; since value of entropy allows to evaluate degree of … in the questionnaire, .. entropy of general business conditions exhibits the highest variability which may be interpreted … as volatile changes in information content of surveys from one month to another; in contrast, entropy of production is …
Persistent link: https://www.econbiz.de/10008691158
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The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations
Coppens, François; González, Fernando; Winkler, Gerhard - 2007
The aims of this paper are twofold: first, we attempt to express the threshold of a single "A" rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...
Persistent link: https://www.econbiz.de/10011638970
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The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations
Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - 2007
The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...
Persistent link: https://www.econbiz.de/10011617381
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The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations
Coppens, François; Gonzáles, Fernando; Winkler, Gerhard - 2007
The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...
Persistent link: https://www.econbiz.de/10011506639
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Estimation of Joint Credit Losses Based on Poisson Processes and a Suggestion for Basel Accords
Moreira, Fernando F - 2011
This paper suggests a model based on Poisson processes to estimate joint credit losses without the limitations of normality assumptions and non-negative correlation. Idiosyncratic and systematic risks are seen as “shocks” and defaults are driven by a latent variable (loans' lifetimes). The...
Persistent link: https://www.econbiz.de/10013133967
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The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations
Coppens, François - 2010
The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor's and Moody's publicly available rating histories to...
Persistent link: https://www.econbiz.de/10013137459
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Determinants of Heterogeneity in European Credit Ratings
Hornik, Kurt - 2010
In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share...
Persistent link: https://www.econbiz.de/10013138613
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Financial Safety Inequalities Based on Expected Risks for Credit Institutions
Medvedev, Gennady - 2009
The stochastic mathematical model of the credit risk process is examined. It is assumed that in unstable economic condition of default may be a cause for credit risk. The fund value of the crediting is considered as some random variable that is changed step-wise at instants of the payments of a...
Persistent link: https://www.econbiz.de/10013156292
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Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises
Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021
Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those...
Persistent link: https://www.econbiz.de/10012617772