Search Results - subject:"Normal Distribution"

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their...

Persistent link: https://www.econbiz.de/10005826641

On the Properties of Various Estimators for Fiscal Reaction Functions

Celasun, Oya; Kang, Joong Shik - International Monetary Fund (IMF) - 2006

This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relationships between the primary fiscal balance and its determinants, including public...

Persistent link: https://www.econbiz.de/10005263679

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Default, Credit Growth, and Asset Prices

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...

Persistent link: https://www.econbiz.de/10005264113

Transformation of an empirical distribution to normal distribution by the use of Johnson system of translation and symmetrical quantile method

Friebel, Ludvík; Friebelová, Jana - In: Acta Universitatis Bohemiae Meridionales 9 (2006) 1, pp. 75-79

This article deals with approximation of empirical distribution to standard normal distribution using Johnson … transformation. This transformation enables us to approximate wide spectrum of continuous distributions with a normal distribution … standard normal distribution in the paper. The Method is introduced on practical example. …

Persistent link: https://www.econbiz.de/10010638564

Operational risk of option hedging

Mitra, Sovan - In: Economic Modelling 33 (2013) C, pp. 194-203

Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model....

Persistent link: https://www.econbiz.de/10010737959

Contribution to improving the modeling of wind and evaluation of the wind potential of the site of Lome: Problems of taking into account the frequency of calm winds

Salami, Akim Adekunle; Ajavon, Ayite Senah Akoda; … - In: Renewable Energy 50 (2013) C, pp. 449-455

The purpose of this paper is to determine for the site of Lome, the best model that fits the frequency histogram of wind speeds to estimate with precision the amounts of recoverable wind energy. Our study was to characterize the wind potential of Lome using the approach of Hybrid Weibull...

Persistent link: https://www.econbiz.de/10010803725

An exact test for a column of the covariance matrix based on a single observation

Bodnar, Taras; Gupta, Arjun - In: Metrika 76 (2013) 6, pp. 847-855

In this paper, we derive an exact test for a column of the covariance matrix. The test statistic is calculated by using a single observation. The exact distributions of the test statistic are derived under both the null and alternative hypotheses. We also obtain an analytical expression of the...

Persistent link: https://www.econbiz.de/10010846100

On estimation of measurement error models with replication under heavy-tailed distributions

Lin, Jin-Guan; Cao, Chun-Zheng - In: Computational Statistics 28 (2013) 2, pp. 809-829

Measurement error (errors-in-variables) models are frequently used in various scientific fields, such as engineering, medicine, chemistry, etc. In this work, we consider a new replicated structural measurement error model in which the replicated observations jointly follow scale mixtures of...

Persistent link: https://www.econbiz.de/10010847689