In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...

The high growth rate of mortgage debt in various emerging and developed economies has captured headlines following the financial crisis. In this paper, we investigate how mortgage debt impacts household consumption behavior and various components of household consumption. Utilizing a...

We use detailed household-level data from Denmark to analyze how the introduction of interest-only mortgages affected consumption expenditure and borrowing. Four years after the reform interest-only mortgages constituted 40 percent of outstanding mortgage debt. Using an ex-ante measure of...

In the U.K., at the time of writing, the corona virus pandemic has not reached its peak yet. Once it has, hopefully in the next couple of weeks or months, the recovery process can begin. With a nearly total lock down in place on many economic activities, the future for incomes, business...

This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...

Relatively few published studies apply Heckman’s (1979) sample selection model to the case of a discrete endogenous variable and those are limited to a single outcome equation. However, there are potentially many applications for this model in health, labor and financial economics. To fill in...

We develop a structural model of detailing and prescribing decisions under an environment where detailing helps physicians obtain the current information sets about drug qualities. Our model assumes that a representative opinion leader is responsible for updating the prior belief about the...

This paper examines the impact of overweight family members on weight outcomes of Italian children aged 6 to 14 years. We use an original dataset matching the 2012 cross sections of the Italian Multipurpose Household Survey and the Household Budget Survey. Since identification of peer effects...

We propose a novel class of count time series models, the mixed Poisson integer-valued stochastic volatility models. The proposed specification, which can be considered as an integer-valued analogue of the discrete-time stochastic volatility model, encompasses a wide range of conditional...

This article examines the impact of counter-sanctions on the welfare of Russia’s population. We build a multiple-choice model and calculate the probability of being in a particular group of well-being based on the price (cost) of consumed counter-sanctions goods. The next step is the...