This paper reconsiders the formal estimation of bank risk using the variability of the profit function. In our model, point estimates of the variability of profits are derived from a model where this variability is endogenous to other bank characteristics, such as capital and liquidity. We...

By January 1, 2005, Switzerland reduced the legal level of blood–alcohol concentration while driving from 0.8h to 0.5h. This happend on basis of the assumptions that more restrictive per mil levels increase road safety. The benefit of lower blood–alcohol levels, however, depends on whether...

By January 1, 2005, Switzerland reduced the legal level of blood–alcohol concentration while driving from 0.8h to 0.5h. This happend on basis of the assumptions that more restrictive per mil levels increase road safety. The benefit of lower blood–alcohol levels, however, depends on whether...

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...