Search Results - subject:"Probability Distributions"

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Are subjective distributions in inflation expectations symmetric?

Mirkov, Nikola; Steinhauer, Andreas - Institut für Volkswirtschaftslehre, … - 2014

We conducted an anonymous survey in December 2013 asking around 200 economists worldwide to provide an interval (a to b) of average inflation in the US expected "over the next two years". The respondents were also instructed to give a probability of inflation being higher or lower than the...

Persistent link: https://www.econbiz.de/10010891909

Portfolio Optimization within Mixture of Distributions

Kaffel, Rania Hentati; Prigent, Jean-Luc - HAL - 2014

The recent financial crisis has highlighted the necessity to introduce mixtures of probability distributions in order … various statistical data and to approximate many probability distributions. They are typically introduced to model the choice … of probability distributions among a given parametric family. The coefficients of the mixture usually correspond to the …

Persistent link: https://www.econbiz.de/10011026151

The Use of Finite Mixtures of Probability Distributions for Modelling the Distribution of the Duration of Unemployment in the Czech Republic

Malá, Ivana - In: Acta Oeconomica Pragensia 2013 (2013) 5, pp. 47-63

Unemployment belongs to the most serious economic and social problems of developed countries. Usually, the rate of unemployment is analysed. Another problem is the duration of unemployment and especially long-term unemployment. The unemployment duration in the Czech Republic in 2010 is analysed...

Persistent link: https://www.econbiz.de/10011195099

The Hurwicz decision rule’s relationship to decision making with the triangle and beta distributions and exponential utility

Sivaprasad, Sarat; MacKenzie, Cameron A. - In: Decision analysis : a journal of the Institute for … 15 (2018) 3, pp. 139-153

Persistent link: https://www.econbiz.de/10011920721

Appraising Credit Ratings; Does the CAP Fit Better than the ROC?

International Monetary Fund (IMF); International … - 2012

ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more common. We compare the two methods, using as an illustration the ability of the...

Persistent link: https://www.econbiz.de/10011242216

Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2012

Dynamic provisions could help to enhance the solvency of individual banks and reduce procyclicality. Accomplishing these objectives depends on country-specific features of the banking system, business practices, and the calibration of the dynamic provisions scheme. In the case of Chile, a...

Persistent link: https://www.econbiz.de/10011242410

A machine learning algorithm for classification under extremely scarce information

Utkin, Lev V.; Zhuk, Yulia A. - In: International Journal of Data Analysis Techniques and … 4 (2012) 2, pp. 115-133

taking into account this information is to form a set of probability distributions bounded by some lower and upper …

Persistent link: https://www.econbiz.de/10010669737

Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector

International Monetary Fund (IMF); International … - 2011

This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...

Persistent link: https://www.econbiz.de/10011245016

Power Laws in Firm Size and Openness to Trade; Measurement and Implications

Levchenko, Andrei A.; Giovanni, Julian di; Ranciere, Romain - International Monetary Fund (IMF) - 2010

Existing estimates of power laws in firm size typically ignore the impact of international trade. Using a simple theoretical framework, we show that international trade systematically affects the distribution of firm size: the power law exponent among exporting firms should be strictly lower in...

Persistent link: https://www.econbiz.de/10008533217

Public Debt Sustainability and Management in a Compound Option Framework

Chan-Lau, Jorge A.; Santos, Andre - International Monetary Fund (IMF) - 2010

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...

Persistent link: https://www.econbiz.de/10008561071