In this notice we are comment popular approaches to the credit risk modeling.

The jump distribution for the default intensities in a reduced form framework is modeled and calibrated to provide reasonable fits to CDX.NA.IG and iTraxx Europe CDOs, to 5, 7 and 10 year maturities simultaneously. Calibration is carried out using an efficient Monte Carlo simulation algorithm...

This study investigates migration flows from Western Balkans and North African countries to the high-income countries of the EU. Migration and asylum issues were analysed with taking into account empirical, analytical and political comparisons of Western Balkans and North African countries from...

The paper presents estimations of the informal economy size in Bolivia from an application of a Dynamic General Equilibrium Model. The parameter estimation is performed using maximum likelihood method to obtain, as an intermediate result, a latent variable estimation of the informal economy...

This paper contains commentary on the chapter “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim that appeared in the volume "Frontiers in Applied General Equilibrium Modeling," Kehoe, Srinivasan and Whalley (eds.), Cambridge University Press, 2005. I explain in...

One issue that has pervaded policy discussions for decades is the difficulty that school districts experience in retaining teachers. Almost a quarter of entering public school teachers leave teaching within the first three years and empirical evidence has related high attrition rates of beginner...

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA model; 2) AR model estimated by the Kalman filter; 3) model that explains Macedonian GDP as a function of the foreign demand; 4) small structural model that links GDP components...

The issue of over-utilization of medical procedures has generated strong debate in the United States. It is well acknowledged that, in the agency relationship between physicians and patients, the informational advantage gives doctors an incentive to deviate from the appropriate treatment as...

In this paper, I present an empirical model of learning under ambiguity in the context of clinical trials. Patients are concern with learning the treatment effect of the experimental drug, but face the ambiguity of random group assignment. A two dimensional Bayesian model of learning is proposed...

We present a new structural model for single name equity and credit derivatives which we also correlate across reference names to produce a model for bespoke synthetic CDOs. The model captures volatility and outlook risk along with correlation risk for small and for large moves separately. We...