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Inference for Structural Impulse Responses in Svar-Garch Models Svar-Garch模型结构冲击响应的推理
ERN: Simulation Methods (Topic) Pub Date : 2018-04-03 DOI: 10.2139/ssrn.3156256
S. Bruder
{"title":"Inference for Structural Impulse Responses in Svar-Garch Models","authors":"S. Bruder","doi":"10.2139/ssrn.3156256","DOIUrl":"https://doi.org/10.2139/ssrn.3156256","url":null,"abstract":"Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical stability even in scenarios with small sample sizes and/or large dimensions.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115688154","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: 2
A Filtered Historical Simulation Approach to Macroeconomic Scenario Analysis 宏观经济情景分析的过滤历史模拟方法
ERN: Simulation Methods (Topic) Pub Date : 2018-02-21 DOI: 10.2139/ssrn.3127277
Kaname Hirano
{"title":"A Filtered Historical Simulation Approach to Macroeconomic Scenario Analysis","authors":"Kaname Hirano","doi":"10.2139/ssrn.3127277","DOIUrl":"https://doi.org/10.2139/ssrn.3127277","url":null,"abstract":"This paper applies a filtered historical simulation (FHS) approach to macroeconomic scenario generation. The aim of the approach is to generate more plausible macroeconomic scenarios than other macroeconomic scenario models such as the global vector autoregression (GVAR) model. This paper shows how to handle the relation between macroeconomic statistics and financial market factors in a filtered historical simulation approach. The application fields of the approach are integrated risk management, stress testing, business planning and so on.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126191997","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
A Second Order Discretization with Malliavin Weight and Quasi-Monte Carlo Method for Option Pricing 期权定价的二阶Malliavin权离散和拟蒙特卡罗方法
ERN: Simulation Methods (Topic) Pub Date : 2018-02-06 DOI: 10.2139/ssrn.3012898
T. Yamada, Kenta Yamamoto
{"title":"A Second Order Discretization with Malliavin Weight and Quasi-Monte Carlo Method for Option Pricing","authors":"T. Yamada, Kenta Yamamoto","doi":"10.2139/ssrn.3012898","DOIUrl":"https://doi.org/10.2139/ssrn.3012898","url":null,"abstract":"This paper shows an efficient second order discretization scheme of expectations of stochastic differential equations. We introduce smart Malliavin weight which is given by a simple polynomials of Brownian motions as an improvement of the scheme of Yamada (2017). A new quasi Monte Carlo simulation is proposed to attain an efficient option pricing scheme. Numerical examples for the SABR model are shown to illustrate the validity of the scheme.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126719001","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: 5
The Impact of a Merit-Based Incentive Payment System on Quality of Healthcare: A Framed Field Experiment 基于绩效的激励支付制度对医疗质量的影响:一个框架的实地实验
ERN: Simulation Methods (Topic) Pub Date : 2017-11-01 DOI: 10.2139/ssrn.3066257
Ellen Green, Katherine S Peterson, Katherine Markiewicz, Janet E O'Brien, Noël M. Arring
{"title":"The Impact of a Merit-Based Incentive Payment System on Quality of Healthcare: A Framed Field Experiment","authors":"Ellen Green, Katherine S Peterson, Katherine Markiewicz, Janet E O'Brien, Noël M. Arring","doi":"10.2139/ssrn.3066257","DOIUrl":"https://doi.org/10.2139/ssrn.3066257","url":null,"abstract":"We study the impact of a merit-based incentive payment system on provider behavior in the primary care setting using new experimental methods that leverage healthcare simulations with patient actors. Our approach allows us to exogenously change a provider’s incentives and to directly measure the consequences of alternative payment systems. Within our sample, we find that merit-based incentive payment systems increase the number of the incentivized measures met, but also lower quality of care through unintended effects on adherence to standards of care and patient satisfaction.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133442573","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: 5
Automatic Backward Differentiation for American Monte-Carlo Algorithms - ADD for Conditional Expectations and Indicator Functions 美国蒙特卡罗算法的自动后向微分-条件期望和指标函数的ADD
ERN: Simulation Methods (Topic) Pub Date : 2017-06-27 DOI: 10.2139/ssrn.3000822
Christian P. Fries
{"title":"Automatic Backward Differentiation for American Monte-Carlo Algorithms - ADD for Conditional Expectations and Indicator Functions","authors":"Christian P. Fries","doi":"10.2139/ssrn.3000822","DOIUrl":"https://doi.org/10.2139/ssrn.3000822","url":null,"abstract":"In this note we derive a modified backward automatic differentiation (a.k.a. adjoint automatic differentiation, adjoint algorithmic differentiation) for algorithms containing conditional expectation operators and/or indicator functions. Bermudan option and xVA valuation are prototypical examples. We consider the Bermudan product valuation, but the method is applicable in full generality. \u0000Featuring a clean and simple implementation, the method improves accuracy and performance. \u0000For conditional expectation operators it offers the ability to use different estimators in the valuation and the differentiation. \u0000For the indicator function, the method allows to use \"per-operator\"-differentiation of the indicator function, enabling an accurate treatment of each individual exercise boundary - which is not possible in a classic finite difference applied to the Bermudan valuation.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116935569","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
Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation. 基于Panjer递推和Volterra积分方程的操作风险年损失分布模拟。
ERN: Simulation Methods (Topic) Pub Date : 2017-06-04 DOI: 10.2139/ssrn.2980408
G. Peters, A. M. Johansen, A. Doucet
{"title":"Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation.","authors":"G. Peters, A. M. Johansen, A. Doucet","doi":"10.2139/ssrn.2980408","DOIUrl":"https://doi.org/10.2139/ssrn.2980408","url":null,"abstract":"Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon the current literature on evaluation and simulation of annual loss distributions. We present two novel Monte Carlo simulation procedures. In doing so, we make use of Panjer recursions and the Volterra integral equation of the second kind to reformulate the problem of evaluation of the density of a random sum as the calculation of an expectation. We demonstrate the use of importance sampling and trans-dimensional Markov Chain Monte Carlo algorithms to efficiently evaluate this expectation. We further demonstrate their use in the calculation of Value at Risk and Expected Shortfall.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121956976","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
The Russian Industry in 2015-2016: Was There Any Crisis? 2015-2016年的俄罗斯工业:是否存在危机?
ERN: Simulation Methods (Topic) Pub Date : 2017-04-17 DOI: 10.2139/SSRN.2956451
S. Tsukhlo
{"title":"The Russian Industry in 2015-2016: Was There Any Crisis?","authors":"S. Tsukhlo","doi":"10.2139/SSRN.2956451","DOIUrl":"https://doi.org/10.2139/SSRN.2956451","url":null,"abstract":"The monitoring of a representative set of indicators of business surveys carried out by the Gaidar Institute permits to identify the specifics of the 2015–2016 crisis in Russian industry. Firstly, within the two crisis years the dynamics of the main indicators (demand, output and prices) were rather weak which situation was quite an unexpected one for observers and different from the previous crises. Secondly, one could get psychologically prepared to the 2015 crisis several years in advance when the thesis of “the second wave of the crisis” was introduced. The above factors formed the third specifics of 2015 – Russian enterprises went through that crisis rather smoothly. Fourthly, the only manifestations of the 2015–2016 crisis for Russian industry were a dramatic surge in the interest rate on bank loans and a collapse of investment plans.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128450974","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
Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation 具有正变尾的因子模型的大偏差:渐近性和有效估计
ERN: Simulation Methods (Topic) Pub Date : 2017-03-01 DOI: 10.2139/ssrn.3361346
Farzad Pourbabaee, Omid Shams Solari
{"title":"Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation","authors":"Farzad Pourbabaee, Omid Shams Solari","doi":"10.2139/ssrn.3361346","DOIUrl":"https://doi.org/10.2139/ssrn.3361346","url":null,"abstract":"We analyze the Large Deviation Probability (LDP) of linear factor models generated from non-identically distributed components with regularly-varying tails, a large subclass of heavy tailed distributions. An efficient sampling method for LDP estimation of this class is introduced and theoretically shown to exponentially outperform the crude Monte-Carlo estimator, in terms of the coverage probability and the confidence interval's length. The theoretical results are empirically validated through stochastic simulations on independent non-identically Pareto distributed factors. The proposed estimator is available as part of a more comprehensive CMC package.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129619214","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
The Spatial Efficiency Multiplier and Random Effects in Spatial Stochastic Frontier Models 空间随机前沿模型的空间效率乘数和随机效应
ERN: Simulation Methods (Topic) Pub Date : 2016-11-01 DOI: 10.2139/ssrn.2873520
Anthony J. Glass, Karligash Glass, R. Sickles, T. Weyman-Jones
{"title":"The Spatial Efficiency Multiplier and Random Effects in Spatial Stochastic Frontier Models","authors":"Anthony J. Glass, Karligash Glass, R. Sickles, T. Weyman-Jones","doi":"10.2139/ssrn.2873520","DOIUrl":"https://doi.org/10.2139/ssrn.2873520","url":null,"abstract":"We extend the emerging literature on spatial frontier models in three respects. Firstly, we account for latent heterogeneity by developing a maximum likelihood random effects spatial autoregressive (SAR) stochastic frontier model. Secondly, to analyze the finite sample properties of a spatial stochastic frontier model we develop a Monte Carlo experimental methodology which we then apply. Thirdly, we introduce the concept of the spatial efficiency multiplier and show that the efficiency benchmark for a productive unit from the structural form of a spatial stochastic frontier model differs from the efficiency benchmark from the reduced form of the model.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125049920","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
How the Ageing Population Contributes to UK Economic Activity: A Microsimulation Analysis 人口老龄化对英国经济活动的影响:微观模拟分析
ERN: Simulation Methods (Topic) Pub Date : 2016-11-01 DOI: 10.1111/sjpe.12106
T. Lawson
{"title":"How the Ageing Population Contributes to UK Economic Activity: A Microsimulation Analysis","authors":"T. Lawson","doi":"10.1111/sjpe.12106","DOIUrl":"https://doi.org/10.1111/sjpe.12106","url":null,"abstract":"In the United Kingdom, as in several other countries, increasing life expectancy is leading to a shift in the age distribution of the population. Meanwhile, at the level of individuals, spending patterns change as people age. This paper investigates the extent to which demographic change is likely to affect household spending patterns by combining the techniques of dynamic microsimulation with an imputation method known as random assignment. While there has been significant concern about the economic cost of the ageing population, this paper finds a potentially beneficial effect in the form of an increase in total spending for most expenditure categories.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124103794","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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