Search Results - subject:"computation"

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Bank Competition, Risk and Asset Allocations

Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009

We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...

Persistent link: https://www.econbiz.de/10008528611

Incorporating Market Information Into the Construction of the Fan Chart

Kannan, Prakash; Elekdag, Selim - International Monetary Fund (IMF) - 2009

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new...

Persistent link: https://www.econbiz.de/10008528615

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Can Markets Compute Equilibria?

Monroe, Hunter K. - International Monetary Fund (IMF) - 2009

Recent turmoil in financial and commodities markets has renewed questions regarding how well markets discover equilibrium prices, particularly when those markets are highly complex. A relatively new critique questions whether markets can realistically find equilibrium prices if computers cannot....

Persistent link: https://www.econbiz.de/10005264183

Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...

Persistent link: https://www.econbiz.de/10008559278

India; Selected Issues

International Monetary Fund (IMF); International … - 2009

Despite the external origin of the financial crisis, the potential impact on Indiaâ€™s corporate sector could be large, as India has become increasingly integrated with the global economy in the past decade. The Selected Issues paper discusses Indiaâ€™s economic development and...

Persistent link: https://www.econbiz.de/10011244625

ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models

Creel, Michael; Kristensen, Dennis - In: Journal of Empirical Finance 31 (2015) C, pp. 85-108

using so-called Approximate Bayesian Computation which build likelihoods based on limited information. The proposed …-dimensional auxiliary statistics and so avoid computation of high-dimensional integrals. Despite their computational simplicity, we find …

Persistent link: https://www.econbiz.de/10011263469

More power through symbolic computation: Extending Stata by using the Maxima computer algebra system

Magno, Giovanni L. Lo - In: Stata Journal 15 (2015) 1, pp. 45-76

Maxima so that Maxima can be used for symbolic computation to transfer data from Stata to Maxima and to retrieve results from … computation can be easily used together with all the facilities supplied by Stata. In this environment, symbolic computation … algorithms can be used to manage the complexity of algebra and calculus, whereas numerical computation can be used when speed …

Persistent link: https://www.econbiz.de/10011265692

Study and comparison of color models for automatic image analysis in irrigation management applications

García-Mateos, G.; Hernández-Hernández, J.L.; … - In: Agricultural Water Management 151 (2015) C, pp. 158-166

Image processing and computer vision are increasingly being used in water management applications in agriculture. Images can provide valuable information on the percentage of ground cover, which is essential in determining crop irrigation needs. Techniques based on color analysis allow...

Persistent link: https://www.econbiz.de/10011208817

Multiobjective optimization: When objectives exhibit non-uniform latencies

Allmendinger, Richard; Handl, Julia; Knowles, Joshua - In: European Journal of Operational Research 243 (2015) 2, pp. 497-513

Building on recent work by the authors, we consider the problem of performing multiobjective optimization when the objective functions of a problem have differing evaluation times (or latencies). This has general relevance to applications since objective functions do vary greatly in their...

Persistent link: https://www.econbiz.de/10011209305