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A Discrete Mathematical Model for Chaotic Dynamics in Economics : Kaldor's Model on Business Cycle

Orlando, Giuseppe - 2017

This paper, following Kaldor's approach, is written with the intention of interpreting fluctuations of economic systems (i.e trade cycles). In particular, a new discretized Kaldor model is proposed, which is also useful to explain what appears to be random and unpredictable, such as economic...

Persistent link: https://www.econbiz.de/10012956312

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

Persistent link: https://www.econbiz.de/10003831692

Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

CLO replenishment regarded as linear optimisation problem

Becker, Claas - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 53-62

Persistent link: https://www.econbiz.de/10011997097

Pareto-optimality for lethality and collateral risk in the airstrike multi-objective problem

Dillenburger, Steven P.; Jordan, Jeremy D.; Cochran, … - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1051-1064

Persistent link: https://www.econbiz.de/10012213586

A mixed-integer linear programming approach for collateral management

Goblet, Jordan; Willame, Fabien; Grauls, Jan - In: Decision analytics journal 10 (2024), pp. 1-8

Collateral management involves the efficient monitoring and allocation of assets to mitigate credit risk in financial … collateral management, namely to collateralize as much as possible a set of transactions given a limited asset portfolio. In …-world problems often preclude direct resolution through conventional MILP solvers. In addition, each collateral adjustment movement …

Persistent link: https://www.econbiz.de/10014543548

A Divide and Conquer Algorithm for Exploiting Policy Function Monotonicity

Gordon, Grey - 2017

A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a discrete problem with n states and n choices, the algorithm requires at most n log2(n) 5n objective function evaluations. In contrast, existing methods for non-concave problems require...

Persistent link: https://www.econbiz.de/10012953080

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Lopez, Pierlauro - 2018

We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...

Persistent link: https://www.econbiz.de/10012906892

Efficient Solution and Computation of Models with Occasionally Binding Constraints

Böhl, Gregor - 2022

Structural estimation of macroeconomic models and new HANK-type models with extremely high dimensionality require fast and robust methods to efficiently deal with occasionally binding constraints (OBCs). This paper proposes a novel algorithm that solves for the perfect foresight path of...

Persistent link: https://www.econbiz.de/10014030468

A Comparison of Numerical Methods for the Solution of Continuous-Time DSGE Models

Parra-Alvarez, Juan Carlos - 2013

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...

Persistent link: https://www.econbiz.de/10013072550