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The Puzzle of the Diffusion of Central-Bank Independence Reforms: Insights from an Agent-Based Simulation
Agent-based modeling Central banks Diffusion Kingdon
2011/9/24
The emergence of an ever-widening sphere of global public policy is a new reality in a world characterized by the blurring of boundaries between the national and the global; by flows of ideas, people,...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
Regulation Simulation
Regulation Simulation market
2010/10/18
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of Eu...
About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity
financial institution bank high-level model simulation system dynamics differential equations Kolmogorov equations
2010/11/3
The goal of this article is to describe the concepts of system dynamics and its applications to
the simulation modeling of financial institutions daily activity. The hybrid method of the reengineerin...