In this paper I present a method for the simulation of the default of such loans that have two important properties: they are seasoned – maybe even being at different points of the seasoning curve – and they evolve in an asset-value based framework. This latter model allows us to introduce...

We develop a model of household demand for frequently purchased consumer goods that are branded, storable and subject to stochastic price fluctuations. Our framework accounts for how inventories and expectations of future prices affect current period purchase decisions. We estimate our model...

This paper continues consideration of computer simulation of a bank branch by means of GPSS World and structural-morphological analysis. In a previous work the bank is modeled by a set of queuing systems. Following the first article in this part we report on the development of a simulation model...

This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity re-engineering and optimization is formulated.

The article examines an approach to the simulation of financial institution behavior (and bank in particular) based upon system dynamics methods. Research results indicate that system dynamics modeling can to further for better understanding of banking troubles hidden causes. Therefore the...

The paper reviews the concepts of system dynamics and its applications to the simulation modeling of financial institutions daily activity. While widely applicable, the approach is of a particular interest in transitional and developing economies. The hybrid method of banking business processes...

In this paper we will generate queueing systems with c stations where the inter-arrival time and the c service times depend through a c+1 copula C. We will consider two models: first when the customer does not know the order of service times for the free service channels (he/she chooses the...

In recent years, major advances have taken place in three areas of random utility modeling: (1) semiparametric estimation, (2) computational methods for multinomial probit models, and (3) computational methods for Bayesian stimation. This paper summarizes these developments and discusses their...

In this paper I develop a method to estimate the effect of an event on a time series variable. The event is framed in a quasi-experimental setting with time series observations on a treatment variable, which is affected by the event, and a control variable, which is not. Prior to the event, the...

We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study...