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The classical theory of comparative risk aversion shows the equivalence of various criteria for comparing the aversion of cardinal preferences to risks with real outcomes. Parts of this theory have been extended to outcomes in Euclidean spaces. We complete, unify and generalize this theory. Our...
Persistent link: https://www.econbiz.de/10012711063
Ideas by Statistical Mechanics (ISM) is a generic program to model evolution and propagation of ideas/patterns throughout populations subjected to endogenous and exogenous interactions. The program is based on the author's work in Statistical Mechanics of Neocortical Interactions (SMNI), and...
Persistent link: https://www.econbiz.de/10012711668
Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance (also known as analytical), and the Monte Carlo approaches. Whereas the first approach does not assume any distribution, the...
Persistent link: https://www.econbiz.de/10012711912
We introduce an approach to sensitivity analysis of quantitative risk models, for the purpose of identifying the most influential inputs. The proposed approach relies on a change of measure derived by minimising the $\chi^2$-divergence, subject to a constraint (`stress') on the expectation of a...
Persistent link: https://www.econbiz.de/10013242059
Persistent link: https://www.econbiz.de/10013032208
This paper examines a number of widely used liquidity measures to assess the consistency and reliability of the measures across different liquidity scenarios. A review is conducted of the various measures (based on Gabrielsen, Marzo and Zagaglia, 2011). This paper expands upon their review, by...
Persistent link: https://www.econbiz.de/10013061528
We rely on case study interviews and on the literature to develop conceptual and process simulation models for investigating the value of traceability for food recall. Our models incorporate quality control in a vertical food supply chain and identify key factors that affect the value of...
Persistent link: https://www.econbiz.de/10012717222
This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10009348119
This paper uses two economic shocks, a catastrophic earthquake, the Great East-Japan Earthquake, that hit Japan on March 11, 2011 and the pandemic in 2020, to determine if investors respond differently by the types of economic shocks. We analyze the factors affecting the abnormal returns during...
Persistent link: https://www.econbiz.de/10013321791
In their influential paper Xu and Harvey (2014) claim that gamblers are more likely to win in subsequent games if they are in a winning streak and more likely to lose if they experience a losing streak. They suggest that gamblers create their own hot hand by falling for the gambler’s fallacy....
Persistent link: https://www.econbiz.de/10013322729