Income distribution data from before the Industrial Revolution usually comes in the shape of social tables: inventories of a range of social groups and their mean incomes. These are frequently reported without adjusting for within-group income dispersion, leading to a systematic downward bias in...

This article focuses on the computation of VaR and CTE. It provides a very accurate and fast method, based on Fourier analysis and following Boyarchenko and Levendorskii (2000). Once the characteristic function of a marginal law is known, the computation of VaR or CTE is performed using a Fast...

An option is a financial instrument that allows the holder to buy or sell an underlying security in the future at an agreed strike or price set today. European options are often priced under the assumption of constant interest rates as seen in the Black-Scholes (1973) model.In interest rate...

This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those...

Liquidity is easily perceived but not easily defined in financial markets. In this study, we present a class of liquidity measures called Proper Liquidity Measures (PLM). We prove that widely used measure such as percent quoted spreads and the Amihud measure fulfill our axioms. PLMs can be...

The micro-economic foundation of a hospital's optimal resource allocation is discussed. The foundation of a quantitative method to evaluate a hospital's performance depends on the pure economic definition of efficiency. This study is important for scholars and practitioners in the field of...

Financial institutions have to satisfy capital adequacy tests required, e.g., by the Basel Accords for banks or by Solvency II for insurers. If the financial situation of an institution is tight, then it can happen that no reallocation of the initial endowment would pass the capital adequacy...

We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we employ topical modelling based on an unsupervised...

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal external capital which has to be raised into multiple...