Showing 51 - 60 of 107
Human capital, like any other form of wealth, lends itself to analysis through the tools of mathematical finance. No less than in other forms of enterprise, human capital formation involves risk. Returns on human capital and the risks inherent in its formation are affected by leverage. This is...
Persistent link: https://www.econbiz.de/10013053962
Models for predicting business bankruptcies have evolved rapidly. Machine learning is displacing traditional statistical methodologies. Three distinct techniques for approaching the classification problem in bankruptcy prediction have emerged: single classification, hybrid classifiers, and...
Persistent link: https://www.econbiz.de/10012893516
This paper presents a physical model of the Gini coefficient and its corresponding Lorenz curve. If the Lorenz curve is scaled to 1, then 1 represents gross domestic income, gross domestic product, or societal wealth. The value 1 also represents total population. On these assumptions, the value...
Persistent link: https://www.econbiz.de/10012896693
In principle, neither the global environment nor personal health should come down to gambling. In practice, however, both the law of global biodiversity protection and the constitutional debate on the Patient Protection and Affordable Care Act (PPACA) rest on astoundingly risk-seeking...
Persistent link: https://www.econbiz.de/10013059640
The Basel II and III accords prescribe distinct measures of market risk in the trading book of regulated financial institutions. Basel II has embraced value-at-risk (VaR) analysis, while Basel III has suggested that VaR be replaced by a different measure of risk, expected shortfall. These...
Persistent link: https://www.econbiz.de/10013060143
Quantitative finance traces its roots to modern portfolio theory. Despite the deficiencies of modern portfolio theory, mean-variance optimization nevertheless continues to form the basis for contemporary finance. The term "postmodern portfolio theory" expresses many of the theoretical advances...
Persistent link: https://www.econbiz.de/10013064118
Each of the most recent accords of the Basel Committee on Banking Regulation, known as Basel II, 2.5, and II, has embraced a different primary measure of market risk in global banking regulation: traditional value-at-risk (VaR), stressed VaR, and expected shortfall. After introducing the...
Persistent link: https://www.econbiz.de/10013064141
The basic tenets of prospect theory, a bedrock principle of behavioral economics, can be illustrated by what Daniel Kahneman has called prospect theory's "flag": an asymmetrical sigmoid curve whose inflection point occurs at the origin (thus reflecting human beings' adaptation level relative to...
Persistent link: https://www.econbiz.de/10013064557
This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...
Persistent link: https://www.econbiz.de/10012925643
This paper classifies Central and Eastern European (CEE) countries according to time-series data on wage ratios, tertiary education, and NEET rates from 2008 to 2021. Principal component analysis (PCA) and hierarchical cluster analysis (HCA) were used, first the combination of PCA and HCA for...
Persistent link: https://www.econbiz.de/10014353084