Search Results - subject:"Random variables"

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Solving for Country Portfolios in Open Economy Macro Models

Devereux, Michael B.; Sutherland, Alan - International Monetary Fund (IMF) - 2007

This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or...

Persistent link: https://www.econbiz.de/10005826170

Can Miracles Lead to Crises? the Role of Optimism in Emerging Markets Crises

Boz, Emine - International Monetary Fund (IMF) - 2007

Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself...

Persistent link: https://www.econbiz.de/10005826240

Hedonic Imputation Versus Time Dummy Hedonic Indexes

Diewert, W. E.; Silver, Mick; Heravi, Saeed - International Monetary Fund (IMF) - 2007

Statistical offices try to match item models when measuring inflation between two periods. However, for product areas with a high turnover of differentiated models, the use of hedonic indexes is more appropriate since they include unmatched new and old models. There are two main competing...

Persistent link: https://www.econbiz.de/10005826578

Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting

Jobst, Andreas - International Monetary Fund (IMF) - 2007

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Persistent link: https://www.econbiz.de/10005826656

Proportions, sums and ratios

Nadarajah, Saralees; Kotz, Samuel - In: AStA Advances in Statistical Analysis 91 (2007) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10005371270

Asymptotic properties for a class of partially identified models

Beresteanu, Arie; Molinari, Francesca - 2006

random variables, we develop a methodology to test assumptions about the true identification region and to calculate the …

Persistent link: https://www.econbiz.de/10010333083

Structural change in macroeconomic time series: A complex systems perspective

Hinich, MJ; Foster, J; Wild, P - 2006

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

Persistent link: https://www.econbiz.de/10009448044

Asymptotic properties for a class of partially identified models

Beresteanu, Arie; Molinari, Francesca - Centre for Microdata Methods and Practice (CEMMAP) - 2006

random variables, we develop a methodology to test assumptions about the true identification region and to calculate the … applied for vector valued random variables, we develop a methodology to test assumptionsaboutthetrueidentification region and …, Set-Valued Random Variables. ∗ We are grateful to Larry Blume for introducing us to the theory of Set Valued Random …

Persistent link: https://www.econbiz.de/10005811428

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Liu, Kexue; Salvati, Jean; Avesani, Renzo G.; … - International Monetary Fund (IMF) - 2006

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...

Persistent link: https://www.econbiz.de/10005604852