This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...

Some assumptions with respect to the number [N(t)]t>0 and the amount [Xi]i=1 of damages are introduced in the paper. It will be assumed that the average of the number of damages is a Poisson process, which leads to a compound Poisson process [S(t)]t>0 for the total damages.

The presence of i) stochastic trends, ii) deterministic trends, and/or iii) stochastic volatility in DSGE models may imply that the agents' objective functions attain infinite values. We say that such models do not have a valid micro foundation. The paper derives sufficient conditions which...

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...

Given a_{1}; a_{2},...a_{n} in Z^{d}, we examine the set, G, of all nonnegative integer combinations of these ai. In particular, we examine the generating function f(z) = Sum_{b in G}z^{b}. We prove that one can write this generating function as a rational function using the neighborhood complex...

Let I1, I2, . . . , In be a sequence of independent indicator functions de- fined on a probability space (Ω, A, P ). We say that index k is a success time if Ik = 1. The sequence I1, I2, . . . , In is observed sequentially. The objective of this article is to predict the l-th last success, if...