1,721,067 research outputs found
Dynamic Systems of Social Interactions
Full text linkWe state conditions for existence and uniqueness of equilibria in evolu- tionary models with an infinity of locally and globally interacting agents. Agents face repeated discrete choice problems. Their utility depends on the actions of some designated neighbors and the average choice throughout the whole population. We show that the dynamics on the level of aggregate be- havior can be described by a deterministic measure-valued integral equation. If some form of positive complementarities prevails we establish convergence and ergodicity results for aggregate activities. We apply our convergence re- sults to study a class of population games with random matching.evolutionary dynamics, social interaction, equilibrium, interacting particle systems, coordination games
Efficiency and Equilibria in Games of Optimal Derivative Design
Full text linkIn this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. In contrast with the principal-agent models that are extended within, here the presence of ties in the agents' best-response correspondences yields discontinuous payoff functions for the agencies. These discontinuities are dealt with via efficient tie-breaking rules. The main results of this paper are a proof of existence of (mixed-strategies) Nash equilibria in the case of profit-maximizing agencies, and of socially efficient allocations when the firms are risk minimizers. It is also shown that in the particular case of the entropic risk measure, there exists an efficient "fix-mix" tie-breaking rule, in which case firms share the whole market over given proportions.Adverse selection, Nash equilibria, Pareto optimality, risk transfer, socially efficient allocations, tie-breaking rules
Ulrich Horst. Bischöfe und Ordensleute. Cura principalis animarum und via perfectionis in der Ekklesiologie des hl. Thomas von Aquin
No full textBeyer de Ryke Benoît. Ulrich Horst. Bischöfe und Ordensleute. Cura principalis animarum und via perfectionis in der Ekklesiologie des hl. Thomas von Aquin. In: Revue belge de philologie et d'histoire, tome 79, fasc. 4, 2001. Histoire medievale, moderne et contemporaine - Middeleeuwse. moderne en hedendaagse geschiedenis. pp. 1325-1328
Ulrich Horst, Unfehlbarkeit und Geschichte. Studien zur Unfehlbarkeitsdiskussion von Melchior Cano bis zum I. Vatikanischen Konzil. Mathias Grünewald Verlag, Mayence 1982
No full textAndré Birmelé. Ulrich Horst, Unfehlbarkeit und Geschichte. Studien zur Unfehlbarkeitsdiskussion von Melchior Cano bis zum I. Vatikanischen Konzil. Mathias Grünewald Verlag, Mayence 1982. In: Revue d'histoire et de philosophie religieuses, 64e année n°1, Janvier-mars 1984. p. 95
Ulrich Horst, Unfehlbarkeit und Geschichte. Studien zur Unfehlbarkeitsdiskussion von Melchior Cano bis zum I. Vatikanischen Konzil. Mathias Grünewald Verlag, Mayence 1982
No full textAndré Birmelé. Ulrich Horst, Unfehlbarkeit und Geschichte. Studien zur Unfehlbarkeitsdiskussion von Melchior Cano bis zum I. Vatikanischen Konzil. Mathias Grünewald Verlag, Mayence 1982. In: Revue d'histoire et de philosophie religieuses, 64e année n°1, Janvier-mars 1984. p. 95
Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling
Full text linkIn this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the zero-coupon curves in comparison with the well known Nelson-Siegel and Svensson ones. In the sequel we transform the model into a dynamic model for interest rates by designing a switching dynamical system of the considerably reduced dimension nforward interest rates, shot noise processes, switching dynamical systems, chaotic Brownian subordination, chaotic maps
Liquidity and Capital Requirements and the Probability of Bank Failure
Full text linkUsing the model of Rochet and Vives (2004), this note shows that a prudential regulator can in general not mitigate a bank’s failure risk solely by means of liquidity requirements. However, their effectiveness can be restored if, in addition, minimum capital requirements are met. This provides a rationale for capital requirements beyond the commonly envoked reasoning that they are to be used to control the riskiness of banks’ asset portfolios.prudential regulation, liquidity requirements, minimum capital requirements, global games
Estimation of the signal subspace without estimation of the inverse covariance matrix
Full text linkLet a high-dimensional random vector X can be represented as a sum of two components - a signal S, which belongs to some low-dimensional subspace S, and a noise component N. This paper presents a new approach for estimating the subspace S based on the ideas of the Non-Gaussian Component Analysis. Our approach avoids the technical difficulties that usually exist in similar methods - it doesn’t require neither the estimation of the inverse covariance matrix of X nor the estimation of the covariance matrix of N.dimension reduction, non-Gaussian components, NGCA
Learning Machines Supporting Bankruptcy Prediction
Full text linkIn many economic applications it is desirable to make future predictions about the financial status of a company. The focus of predictions is mainly if a company will default or not. A support vector machine (SVM) is one learning method which uses historical data to establish a classification rule called a score or an SVM. Companies with scores above zero belong to one group and the rest to another group. Estimation of the probability of default (PD) values can be calculated from the scores provided by an SVM. The transformation used in this paper is a combination of weighting ranks and of smoothing the results using the PAV algorithm. The conversion is then monotone. This discussion paper is based on the Creditreform database from 1997 to 2002. The indicator variables were converted to financial ratios; it transpired out that eight of the 25 were useful for the training of the SVM. The results showed that those ratios belong to activity, profitability, liquidity and leverage. Finally, we conclude that SVMs are capable of extracting the necessary information from financial balance sheets and then to predict the future solvency or insolvent of a company. Banks in particular will benefit from these results by allowing them to be more aware of their risk when lending money.Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Profitability
Models for Heavy-tailed Asset Returns
Full text linkMany of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black- Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a normal distribution. But this assumption is not justified by empirical data! Rather, the empirical observations exhibit excess kurtosis, more colloquially known as fat tails or heavy tails. This chapter is intended as a guide to heavy-tailed models. We first describe the historically oldest heavy-tailed model – the stable laws. Next, we briefly characterize their recent lighter-tailed generalizations, the socalled truncated and tempered stable distributions. Then we study the class of generalized hyperbolic laws, which – like tempered stable distributions – can be classified somewhere between infinite variance stable laws and the Gaussian distribution. Finally, we provide numerical examples.Heavy-tailed distribution; Stable distribution; Tempered stable distribution; Generalized hyperbolic distribution; Asset return; Random number generation; Parameter estimation
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