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Transition Probability Matrix Methodology for Incremental Risk Charge

Yavin, Tzahi; Zhang, Hu; Wang, Eugene; Clayton, Michael - Volkswirtschaftliche Fakultät, … - 2011

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...

Persistent link: https://www.econbiz.de/10008835350

Effectiveness of the Global Banking System in 2010: A Data Envelopment Analysis approach

Thanh, Ngo - Volkswirtschaftliche Fakultät, … - 2011

The current crisis has revealed the weaknesses of the global financial in general and its banking system in particular …, put forward a requirement for assessing the effectiveness and stability of the banking sectors across countries. Based on … available data from 64 countries over the world, the author tried to evaluate the effectiveness of the banking sectors in those …

Persistent link: https://www.econbiz.de/10011109543

Estimation in semiparametric models with missing data

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

Persistent link: https://www.econbiz.de/10011109911

Mann-Whitney Test with Adjustments to Pre-treatment Variables for Missing Values and Observational Study

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2013

The conventional Wilcoxon/Mann-Whitney test can be invalid for comparing treatment effects in the presence of missing values or in observational studies. This is because the missingness of the outcomes or the participation in the treatments may depend on certain pre-treatment variables. We...

Persistent link: https://www.econbiz.de/10011111373

Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions

Chen, Songxi; Peng, Liang; Yu, Cindy - Volkswirtschaftliche Fakultät, … - 2013

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...

Persistent link: https://www.econbiz.de/10011257884

A Poisson Stochastic Frontier Model with Finite Mixture Structure

Drivas, Kyriakos; Economidou, Claire; Tsionas, Efthymios G. - Volkswirtschaftliche Fakultät, … - 2014

Standard stochastic frontier models estimate log-linear specifications of production technology, represented mostly by production, cost, profit, revenue, and distance frontiers. We develop a methodology for stochastic frontier models of count data allowing for technological and inefficiency...

Persistent link: https://www.econbiz.de/10011107340

A Longitudinal Parametric Approach to Estimate Local Government Efficiency

Pacheco, Francisca; Sanchez, Rafael; Villena, Mauricio - Volkswirtschaftliche Fakultät, … - 2014

Previous empirical works on municipal efficiency have mostly used cross-sectional data which makes it impossible to … results. We present one of the first longitudinal parametric studies that analyze municipal efficiency and its determinants … using a one step procedure. Furthermore, we are the first of this kind that analize overall efficiency as well as efficiency …

Persistent link: https://www.econbiz.de/10011107534

Intergenerational modelling of the greenhouse effect

Spash, Clive L. - Volkswirtschaftliche Fakultät, … - 1994

greenhouse effect on efficiency grounds. The model characterises basic transfers, investigate the effect of greenhouse emissions …

Persistent link: https://www.econbiz.de/10011107739

Does Automation Improve Stock Market Efficiency? Evidence from Ghana

Mensah, Justice T.; Pomaa-Berko, Maame; Adom, Philip Kofi - Volkswirtschaftliche Fakultät, … - 2012

2008 is expected among other things to improve the efficiency of the market. This paper therefore investigates the impact … of the automation on the efficiency of the GSE within the framework of the weak-form Efficient Market Hypothesis (EMH … the GARCH models were used to analyze the efficiency of the GSE in the pre and post automation sample periods. Results …

Persistent link: https://www.econbiz.de/10011107800

Work incentive and productivity in Spain

Pisa, M. Isabel; Sánchez, Rosario - Volkswirtschaftliche Fakultät, … - 2013

favor of the efficiency wage model. This theory is consistent with the views of many managers and personal administrators …

Persistent link: https://www.econbiz.de/10011107852