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A Cape Cod Model for the Exponential Dispersion Family 指数色散族的科德角模型
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2018-06-24 DOI: 10.2139/ssrn.3201982
G. Taylor
{"title":"A Cape Cod Model for the Exponential Dispersion Family","authors":"G. Taylor","doi":"10.2139/ssrn.3201982","DOIUrl":"https://doi.org/10.2139/ssrn.3201982","url":null,"abstract":"Abstract The defining feature of the Cape Cod algorithm in current literature is its assumption of a constant loss ratio over accident periods. This is a highly simplifying assumption relative to the chain ladder model which, in effect, allows loss ratio to vary freely over accident period. Much of the literature on Cape Cod reserving treats it as essentially just an algorithm. It does not posit a parametric model supporting the algorithm. There are one or two exceptions to this. The present paper extends them by introducing a couple of more general stochastic models under which maximum likelihood estimation yields parameters estimates closely resembling those of the classical Cape Cod algorithm. For one of these models, these estimators are shown to be minimum variance unbiased, and so are superior to the conventional estimators, which rely on the chain ladder. A Bayesian Cape Cod model is also introduced, and a MAP estimator calculated. A numerical example is included.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114311110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Contingent Valuation Method 条件估价法
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2018-04-05 DOI: 10.2139/ssrn.3500870
O. Kopsidas
{"title":"Contingent Valuation Method","authors":"O. Kopsidas","doi":"10.2139/ssrn.3500870","DOIUrl":"https://doi.org/10.2139/ssrn.3500870","url":null,"abstract":"In this work, a methodological framework under the form of an algorithmic procedure, including 28 activity stages and 6 decision nodes, has been developed for evaluating environmental impact caused by industrial activities. The main part of this procedure is a modification of the CVM (Contingent Valuation Method), which is heavily relied on survey-based estimation of WTP-WTA (Willingness To Pay/Accept, respectively). The survey may take place either under a strictly controlled environment or in situ and as-is (“laboratory conditions” or “field conditions”, respectively, in the terminology of experimental economics). Implementation of this methodology is presented, referring to three cases of industrial pollution (in three different sites) caused by: (i) a cement producing unit, (ii) an oil refinery complex, and (iii) an industrialized small city with an intensively polluted port, where several industrial units co-exist, all of them located in the vicinity of Athens, Greece. The results are interpreted/discussed and conclusions are drawn.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125315076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Credit Risk Analysis Using Machine and Deep Learning Models 使用机器和深度学习模型的信用风险分析
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2018-03-16 DOI: 10.2139/ssrn.3155047
P. Addo, D. Guégan, Bertrand K. Hassani
{"title":"Credit Risk Analysis Using Machine and Deep Learning Models","authors":"P. Addo, D. Guégan, Bertrand K. Hassani","doi":"10.2139/ssrn.3155047","DOIUrl":"https://doi.org/10.2139/ssrn.3155047","url":null,"abstract":"Due to the hyper technology associated to Big Data, data availability and computing power, most banks or lending financial institutions are renewing their business models. Credit risk predictions, monitoring, model reliability and effective loan processing are key to decision making and transparency. In this work, we build binary classifiers based on machine and deep learning models on real data in predicting loan default probability. The top 10 important features from these models are selected and then used in the modelling process to test the stability of binary classifiers by comparing performance on separate data. We observe that tree-based models are more stable than models based on multilayer artificial neural networks. This opens several questions relative to the intensive used of deep learning systems in the enterprises.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126627685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 188
Extending Risk Budgeting for Market Regimes and Quantile Factor Models 市场机制与分位数因子模型的风险预算扩展
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2018-03-15 DOI: 10.2139/ssrn.3141739
Emlyn Flint, Simon du Plooy
{"title":"Extending Risk Budgeting for Market Regimes and Quantile Factor Models","authors":"Emlyn Flint, Simon du Plooy","doi":"10.2139/ssrn.3141739","DOIUrl":"https://doi.org/10.2139/ssrn.3141739","url":null,"abstract":"We combine several disparate avenues in the literature to create a novel, unified risk-based optimisation framework. Specifically, we extend the existing risk budgeting approach of Richard and Roncalli (2015) to allow for changing market regimes, factor dependence and nonlinear and asymmetric market structure. We show that the existing framework can be readily extended to include a factor-dependent return process using standard models available in the literature. Structural changes in market conditions are then incorporated into the framework through the use of a regime-switching turbulence index and the nonlinear and asymmetric market dependence structure is accounted for by using quantile factor models. Most importantly, this extended framework is only comprised of a series of linear models, and is thus simple to understand and implement. We consider two applications of the extended framework, namely scenario analysis and parameter uncertainty analysis, through means of a simple empirical case study. Finally, we introduce the concept of Risk Maps, which provide managers with a graphical approach for estimating and evaluating risk optimality in a multi-objective and multi-scenario setting.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124743278","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Stock‐Flow Consistent Macroeconomic Models: A Survey 库存-流量一致的宏观经济模型:一项调查
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-12-01 DOI: 10.1111/joes.12221
M. Nikiforos, G. Zezza
{"title":"Stock‐Flow Consistent Macroeconomic Models: A Survey","authors":"M. Nikiforos, G. Zezza","doi":"10.1111/joes.12221","DOIUrl":"https://doi.org/10.1111/joes.12221","url":null,"abstract":"The stock-flow consistent (SFC) modeling approach, grounded in the pioneering work of Wynne Godley and James Tobin in the 1970s, has been adopted by a growing number of researchers in macroeconomics, especially after the publication of Godley and Lavoie (2007), which provided a general framework for the analysis of whole economic systems, and the recognition that macroeconomic models integrating real markets with flow-of-funds analysis had been particularly successful in predicting the Great Recession of 2007-9. We introduce the general features of the SFC approach for a closed economy, showing how the core model has been extended to address issues such as financialization and income distribution. We next discuss the implications of the approach for models of open economies and compare the methodologies adopted in developing SFC empirical models for whole countries. We review the contributions where the SFC approach is being adopted as the macroeconomic closure of microeconomic agent-based models, and how the SFC approach is at the core of new research in ecological macroeconomics. Finally, we discuss the appropriateness of the name \"stock-flow consistent\" for the class of models we survey.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127978473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 111
A Probabilistic Graphical Models Approach to Model Interconnectedness 模型互联性的概率图模型方法
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-11-27 DOI: 10.2139/ssrn.3078021
Alexander Denev, Adrien Papaioannou, Orazio Angelini
{"title":"A Probabilistic Graphical Models Approach to Model Interconnectedness","authors":"Alexander Denev, Adrien Papaioannou, Orazio Angelini","doi":"10.2139/ssrn.3078021","DOIUrl":"https://doi.org/10.2139/ssrn.3078021","url":null,"abstract":"In this paper, we show that using multiple models when executing a specific task almost unavoidably gives rise to interaction between them, especially when their number is large. We show that this interaction can lead to biased and incomplete results if treated inappropriately (which we believe is the current standard in the financial industry). We propose the use of probabilistic graphical models – a technique widely used in machine learning and expert systems as a remedy to this problem. We discuss some numerical aspects of our approach that will be present in any practical implementation. We then examine, in detail, a practical example of using this method in a stress testing context.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131099531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
The Chebyshev Method for the Implied Volatility 隐含波动率的Chebyshev方法
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-10-04 DOI: 10.21314/jcf.2019.375
K. Glau, Paul Herold, D. Madan, C. Pötz
{"title":"The Chebyshev Method for the Implied Volatility","authors":"K. Glau, Paul Herold, D. Madan, C. Pötz","doi":"10.21314/jcf.2019.375","DOIUrl":"https://doi.org/10.21314/jcf.2019.375","url":null,"abstract":"The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula its inverse, the implied volatility, is not explicitly available and numerical approximation is required. We propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which is easy to implement and to maintain. We prove a subexponential error decay. This allows us to obtain an accuracy close to machine precision with polynomials of a low degree. We compare the performance of the method in terms of runtime and accuracy to the most common reference methods. In contrast to existing interpolation methods, the proposed method is able to compute the implied volatility for all relevant option data. In this context, numerical experiments confirm a considerable increase in efficiency, especially for large data sets.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122829385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Capturing Demand Transference in Retail - A Statistical Approach 捕捉零售业的需求转移——一种统计方法
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-08-07 DOI: 10.2139/ssrn.3227753
Omker Mahalanobish, Souraj Mishra, Amlan Das, S. Misra
{"title":"Capturing Demand Transference in Retail - A Statistical Approach","authors":"Omker Mahalanobish, Souraj Mishra, Amlan Das, S. Misra","doi":"10.2139/ssrn.3227753","DOIUrl":"https://doi.org/10.2139/ssrn.3227753","url":null,"abstract":"While an item substitution measure provides for the direction, demand transference quantifies the magnitude of demand that may get transferred to an item a) When its substitute is deleted b) When it is introduced in a store and cannibalizes on similar items. This, hence, is an important input into assortment optimization. If an item is predicted to exhibit a good extent of transference then we may be more certain of deleting it (provided, it is less than an average performer in terms of sales). Conversely, we should be careful of deleting a very incremental item (with low demand transference) – since we’ll be losing on a bulk of its demand. Note that transference is not explicitly observed, it’s latent. Our methodology explains how we capture it.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126825851","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Examining the Heterogeneous Regimes of Stock Market Identified with Two Variants of B-B Algorithms that Differ in Rigidness of Specification 用规格刚性不同的两种B-B算法识别股票市场异质机制的检验
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-07-26 DOI: 10.51200/lbibf.v15i.1332
Ho Yew Joe, Mario Arturo Ruiz Estrada, Su-Fei Yap
{"title":"Examining the Heterogeneous Regimes of Stock Market Identified with Two Variants of B-B Algorithms that Differ in Rigidness of Specification","authors":"Ho Yew Joe, Mario Arturo Ruiz Estrada, Su-Fei Yap","doi":"10.51200/lbibf.v15i.1332","DOIUrl":"https://doi.org/10.51200/lbibf.v15i.1332","url":null,"abstract":"This paper studies the more prolonged type of heterogeneous regimes in the stock market identified with the non-parametric Bry and Boschan (1971) (BB) algorithm. Specifically, the paper extracts and examines the statistical properties of these durations derived using two variants of B-B algorithms, namely the Lunde and Timmerman (2004) B-B algorithm and the Candelon, Piplack and Straetmans (2008) B-B algorithm. These two algorithms are contrasting extremes in terms of specification rigidness. The results show that the Candelon et al. (2008) B-B algorithm which is less rigid between the two, detects more frequent switching of regimes, has lower standard deviation and yields higher values of cumulative return and loss. The greater sensitivity, however, may not imply superiority as the fundamental aim of stock market regimes dating is to clearly detect the unobserved long-run structure of the market.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114851322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interpreting Sufficiency in fsQCA: A Reply to Marques and Salavisa (2017) fsQCA的充分性解释:对Marques和Salavisa的回应(2017)
ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2017-07-21 DOI: 10.2139/ssrn.3283391
Svenja Flechtner, T. Heinrich
{"title":"Interpreting Sufficiency in fsQCA: A Reply to Marques and Salavisa (2017)","authors":"Svenja Flechtner, T. Heinrich","doi":"10.2139/ssrn.3283391","DOIUrl":"https://doi.org/10.2139/ssrn.3283391","url":null,"abstract":"Marques and Salavisa (2017) use fuzzy set qualitative comparative analysis (fsQCA) to analyze age-based labour market dualization in Southern European, Anglo-Saxon and a few Nordic countries. They argue that segmentation at the expense of young outsiders is driven by several factors in non-linear ways: different configurations of deindustrialization, labour market coordination, employment protection, and liberalization can lead to youth outsiderness. We question the validity of their empirical analysis and argue that a more complete interpretation of fsQCA measures of fit does not confirm their conclusions. We use the occasion for a hands-on discussion of how the consistency and PRI scores of the sufficiency solution terms are calculated. A good understanding of these allows the researcher to understand which cases and configurations drive high or low scores, and thus facilitates a better understanding of the results.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122124097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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