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on Computational Economics |
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Issue of 2005‒07‒25
seven papers chosen by |
| By: | Pavel Okunev (Lawrence Berkeley National Laboratory) |
| Abstract: | We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model. The algorithm proposed here is much faster than brute force Monte Carlo simulations or Fourier transform based methods. While the algorithm of Hull-White is comparably fast, it assumes that all the loans in the portfolio have equal notionals and recovery rates. This is a very restrictive assumption which is unrealistic for many portfolios encountered in practice. Our algorithm makes no assumptions about the homogeneity of the portfolio. Additionally, it is easier to implement than the algorithm of Hull- White. We use the implicit function theorem to derive analytic expressions for the Greeks |
| Keywords: | Economic capital, gaussian factor model, value at risk, unexpected loss, fast algorithm |
| Date: | 2005–07–23 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpri:0507004&r=cmp |
| By: | LAURA MARTA NUÑEZ (Instituto de Empresa) |
| Abstract: | We use the GRASP procedure to select a subset of financial ratios that are then used to estimate a model of logistic regression to anticipate financial distress on a sample of Spanish firms. The algorithm we suggest is designed "ad-hoc" for this type of variables. Reducing dimensionality has several advantages such as reducing the cost of data acquisition, better understanding of the final classification model, and increasing the efficiency and the efficacy. The application of the GRASP procedure to preselect a reduced subset of financial ratios generated better results than those obtained directly by applying a model of logistic regression to the set of the 141 original financial ratios. |
| Keywords: | Genetic algorithms, Financial distress, Failure, Financial ratios, Variable selection, GRASP, Methaeuristic |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:emp:wpaper:wp04-30&r=cmp |
| By: | LAURA MARTA NUÑEZ (Instituto de Empresa) |
| Abstract: | (WP 03/04 Clave pdf) Previous studies have reported mixed results with regard to the success of technical trading rules.Studies that provide positive evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al (1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the utility of technical trading rules are [Hudson et al (1996) or Allen et al (1999)]. A recent body of work has applied evolutionary algorithms to the design of trading rules [see Karjalainen (1994), Allen et al (1999), Fernandez et al (2001) and Nuñez (2002)].This paper uses genetic algorithms to tests the forecastability of the moving average in the MSE.We report the lack of utility of this indicator. |
| Keywords: | Genetic algorithms, Madrid Stock Exchange, Moving average, Trading rules |
| Date: | 2004–02 |
| URL: | http://d.repec.org/n?u=RePEc:emp:wpaper:wp04-03&r=cmp |
| By: | JAVIER CARRILLO (Instituto de Empresa) |
| Abstract: | (WP 02/04 Clave pdf) The results of our model show that it would be advisable to undertake policies expressly aimed at the process of sustainable technological change in a way that is complementary to the conventional equilibrium oriented environmental policies. In short, the main objectives of this paper are to understand more fully the dynamics of the process of technological change, its role in sustainable development, and to assess the implications of this dynamic approach to techno-environmental policy. To achieve these goals we have developed an agent based model, using distributed artificial intelligence concepts drawn from the general methodology of social simulation. |
| Keywords: | Agent-based models, Evolutionary models, Lock-in , Standardization, Technology difussion, Sustainability |
| Date: | 2004–01 |
| URL: | http://d.repec.org/n?u=RePEc:emp:wpaper:wp04-02&r=cmp |
| By: | Xavier Chojnicki (MÉDEE, University of Lille 1 and CEPII); Frédéric Docquier (CADRE, University of Lille 2, World Bank and IZA Bonn); Lionel Ragot (MÉDEE, University of Lille 1 and EUREQua, University of Paris 1) |
| Abstract: | This paper examines the economic impact of the second great immigration wave (1945- 2000) on the US economy. Contrary to recent studies, we estimate that immigration induced important net gains and small redistributive effects among natives. Our analysis relies on a computable general equilibrium model combining the major interactions between immigrants and natives (labor market impact, fiscal impact, capital deepening, endogenous education, endogenous inequality). We use a backsolving method to calibrate the model on historical data and then consider two counterfactual variants: a cutoff of all immigration flows since 1950 and a stronger selection policy. According to our simulations, the postwar US immigration is beneficial for all cohorts and all skill groups. These gains are closely related to a long-run fiscal gain and a small labor market impact of immigrants. Finally, we also demonstrate that all generations would have benefited from a stronger selection of immigrants. |
| Keywords: | immigration, inequality, welfare, computable general equilibrium |
| JEL: | J61 I3 D58 |
| Date: | 2005–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1676&r=cmp |
| By: | Urmas Sepp; Andres Vesilind; Ülo Kaasik |
| Abstract: | The objective of model-building was an inflation model suitable for prognosis as well as for simulation. The model serves two purposes. First of all, it is a tool for analysing inflation. Secondly, it is part of the model of Estonian economy, which completes the adjustment loop of the macromodel. The theoretical background of the inflation model derives from four basic features of Estonian economy. Namely, Estonia is: a small and open economy, a transitional economy, economy under currency board arrangement and a market economy. When estimating the model, inflation was decomposed into a) underlying inflation which is a long-run process and b) inflation deviations from the equilibrium which are caused by the short-run impact of inflation factors. The underlying inflation, which reflects the convergence, is determined as a trend. The latter was specified as a time function, ARMA process, moving average and HP filter, whereas the best result was obtained with time function. According to modelling output the short run dynamics of the inflation are determined by three main factors - demand pressure reflected by the GDP gap, exchange rate of the US dollar (which is proxy for foreign prices), and administrative action for correcting regulated prices. The adequacy of the model has been tested on the basis of ex post and ex ante prognosis. The model provided acceptable results in the simulation of endogenous and exogenous shocks |
| URL: | http://d.repec.org/n?u=RePEc:eea:boewps:wp2000-01&r=cmp |
| By: | Marit Hinnosaar |
| Abstract: | The implications of the Estonian labor market policy reforms, such as changes to the minimum wage, social benefits and tax allowance, will be analysed using a simple applied general equilibrium model. The model used in the paper is from Bovenberg et al (2000), with the addition of an efficiency wage section based on Shapiro and Stiglitz (1984). The model integrates union bargaining and efficiency wage theory into a traditional CGE model framework. |
| Keywords: | computable general equilibrium models, unemployment, lowskilled labor, minimum wage, benefits, tax allowance |
| JEL: | D58 E62 J32 J50 |
| Date: | 2004–10–20 |
| URL: | http://d.repec.org/n?u=RePEc:eea:boewps:wp2004-5&r=cmp |