Central Bank Research Hub - JEL classification C02: Mathematical Methods
http://www.bis.org/cbhub/list/jel_classification/jel_C02/index.rss
Latest research hub papers with the JEL classification:C02en14Dec/A dynamic default dependence model
http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892/en_tema_892.pdf
Bank of Italy Working Papers by Sara Cecchetti and Giovanna NappoA dynamic default dependence model2012-12-14T17:36:59ZWe develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and Lévy subordinators are used to model the dependence among default times. In particular, we define a cumulative dynamic hazard process as a Lévy subordinator, which allows for jumps and induces positive probabilities of joint defaults. We allow the main asset classes in the portfolio to have different cumulative default probabilities and corresponding different cumulative hazard processes. Under this heterogeneous assumption we compute the portfolio loss distribution in closed form. Using an approximation of the loss distribution, we calibrate the model to the tranches of the iTraxx Europe. Once the multivariate default distribution has been estimated, we analyse the distress dependence in the portfolio by computing indicators of systemic risk, such as the Stability Index, the Distress Dependence Matrix and the Probability of Cascade Effects.A dynamic default dependence model2012-12-14T17:36:59ZAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892Full texthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892/en_tema_892.pdfGiovanna NappoSara CecchettiSara Cecchetti and Giovanna Nappo2012-11Bank of Italy Working PapersB26C02C5301Oct/Sharing a risky cake
http://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdf
Reserve Bank of New Zealand Discussion Papers by David Baqaee and Richard Watt (PDF 213KB)Sharing a risky cake2010-10-01T06:23:00ZConsider an n-person bargaining problem where players bargain over the division of a cake whose size is stochastic. In such a game, the players are not only bargaining over the division of a cake, but they are also sharing risk. This paper presents the Nash bargaining solution to this problem, investigates its properties, and highlights a few special cases.Sharing a risky cake2010-10-01T06:23:00ZFull texthttp://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdfRichard WattDavid BaqaeeDavid Baqaee and Richard Watt (PDF 213KB)2010Reserve Bank of New Zealand Discussion PapersC02C71C7819Aug/The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2009_13.pdf
Czech National Bank Working papers by Jakub Seidler and Petr JakubíkThe Merton Approach to Estimating Loss Given Default: Application to the Czech Republic2010-08-19T06:23:00ZJEL Codes: C02, G13, G33.The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic2010-08-19T06:23:00ZAbstracthttp://www.cnb.cz/en/research/research_publications/cnb_wp/2009/cnbwp_2009_13.htmlFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2009_13.pdfPetr JakubíkJakub SeidlerJakub Seidler and Petr Jakubík2009-08Czech National Bank Working papersC02G13G3327May/Dynamics in Systematic Liquidity
http://research.stlouisfed.org/wp/2009/2009-025.pdf
St Louis Fed Working Papers by Björn Hagströmer, Richard G. Anderson, Jane M. Binner, and Birger NilssonDynamics in Systematic Liquidity2009-05-27T17:42:59ZWe develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross-sectional stock liquidity and (2) cross-sectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. However, for price impact liquidity measures we find support for a moving window specification. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-based estimates.Dynamics in Systematic Liquidity2009-05-27T17:42:59ZAbstracthttp://research.stlouisfed.org/wp/more/2009-025/Full texthttp://research.stlouisfed.org/wp/2009/2009-025.pdfBirger NilssonRichard G. AndersonJane M. BinnerBjörn HagströmerBjörn Hagströmer, Richard G. Anderson, Jane M. Binner, and Birger Nilsson2009-05St Louis Fed Working PapersC02G1016Feb/Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1002.pdf
European Central Bank Working papers by Olli Castrén, Trevor Fitzpatrick, Matthias SydowAssessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks2009-02-16T12:43:00Z(JEL: C02, C19, C52, C61, E32) In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability.Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks2009-02-16T12:43:00ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1002.pdfOlli CastrénTrevor FitzpatrickMatthias SydowOlli Castrén, Trevor Fitzpatrick, Matthias Sydow2009-02-11European Central Bank Working papersC02C19C52C61E3203Apr/An Analytical Approach to Merton´s Rational Option Pricing Theory.
http://www.banxico.org.mx/documents/{480D9F85-2B38-E743-14B7-B6FCB9A36A2C}.pdf
Bank of Mexico Working Papers by Elizondo Rocío; Padilla PabloAn Analytical Approach to Merton´s Rational Option Pricing Theory.2008-04-03T17:40:59ZAn Analytical Approach to Merton´s Rational Option Pricing Theory.2008-04-03T17:40:59ZFull texthttp://www.banxico.org.mx/documents/{480D9F85-2B38-E743-14B7-B6FCB9A36A2C}.pdfRocío ElizondoPablo PadillaElizondo Rocío; Padilla Pablo2008Bank of Mexico Working PapersC02G10G11