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- Estimation of Default Probabilities – Part 5
- The article describes a new approach to asses firms' and private customers' default proabilities that integrates country risk and macro- and microeconomic dependencies between counterparties. The estimation of default probabilities is presented as a first step in the evaluation of credit portfolio risks and the modeling of dependencies between clients....
- White papers 2003-01-01
Additional Resources
- Estimating Systematic Risk: The Choice Of Return Interval And Estimation Period
- From the executive summary: ‘Capital budgeting is one of the most important strategic decisions faced by financial managers. It is the process where the firm identifies, analyzes, and selects long-term projects. One popular technique to evaluate whether the project should be undertaken is the net present value method. A key...
- White papers 2000-04-01
- Simple Mathematical Model for Recognition and Visualization of Atrial Enlargement Using the DECARTO Technique
- For diagnostic recognition of the atrial enlargement with the use of a corrected orthogonal lead system, a simple mathematical model is proposed to provide visualization of the electrophysiological and anatomical characteristics of the heart atria. The atrial depolarization process is depicted in the form of a map on spherical surface...
- White papers 2005-06-13
- The Effects of War Risk on U.S. Financial Markets
- These paper measures the effects of the risks associated with the war in Iraq on various U.S. financial variables using a heteroskedasticity based estimation technique. The results indicate that increases in what we call the "war risk" factor caused declines in Treasury yields and equity prices, a widening of lower-grade...
- White papers 2003-04-23
- Probabilistic Estimation of the Effect of Dimensional Tolerance for Turbine/Compressor Blade Attachment
- The purpose of this paper is to demonstrate a concept of decision making and discuss the implication of results. Stress evaluation though important is secondary for this paper. Finite element technique has been employed to estimate stresses. Root attachments of rotating blades of a turbine or a compressor often have...
- White papers 2002-09-27
- A Recursive Thick Frontier Approach To Estimating Production Efficiency
- We introduce a new panel data estimation technique for cost and production functions: the Recursive Thick Frontier Approach RTFA. RTFA has two advantages over existing thick frontier methods. First, technical inefficiency is allowed to be dependent on the explanatory variables of the frontier model. Secondly, no distributional assumptions are imposed...
- White papers 2005-03-01
- Measurement Of Productivity Improvements: An Empirical Analysis
- This paper tests for productivity gains resulting from the introduction of a productivity-based incentive program in a large manufacturing plant of a Fortune 500 corporation. A methodology is developed based on a stochastic nonparametric frontier estimation technique to evaluate productivity in the postincentive plan period relative to the pre-incentive plan...
- White papers 2005-08-25
- Fujitsu Laboratories Develops Technology for Quick and Accurate Estimation of Rate of Soft Errors in Advanced Semiconductors
- Tokyo, Japan, Apr 30, 2008 - JCN Newswire - Fujitsu Laboratories Ltd. announced today that, in collaboration with the Hawaii Observatory of the National Astronomical Observatory of Japan, an inter-university research institute that is part of Japan's National Institute of Natural Sciences, the development of a technique for quick and...
- Research articles 2008-04-30
- A Bayesian Approach to Variable Selection in Logistic Regression With Application to Predicting Earnings Direction From Accounting Information
- This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. The model is used, as in Ou and Penman (1989), to predict the direction of company earnings, one year ahead of time, from a large set of accounting variables from financial statements. It...
- White papers 2000-09-21
- Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
- This paper develops and implements a technique for maximum likelihood estimation in closed-form of multivariate affine yield models of the term structure of interest rates. Affine yield models owe their popularity among both practitioners and academics to the fact that they allow for straightforward pricing of bonds and other interest...
- White papers 2002-12-01
- Financial Integration
- This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. The technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary...
- White papers 2003-07-31
- Hedonic Pricing Models:A Selective and Applied Review
- In this paper there is a selective review of hedonic price literature and some other related models .Over the past three decades, hedonic estimation has matured from a new technology to the standard way economists deal with housing's heterogeneity. A Professor's own work in this area, and the work of...
- White papers 2002-04-10
- Sensitivity Profiles From an Array of Coils for Encoding and Reconstruction in Parallel (SPACE RIP)
- A new parallel imaging technique was implemented which can result in reduced image acquisition times in MRI. MR data is acquired in parallel using an array of receiver coils and then reconstructed simultaneously with multiple processors. The method requires the initial estimation of the 2D sensitivity profile of each coil...
- White papers 2000-08-17
- Bayesian morphology: fast unsupervised Bayesian image analysis.
- A new procedure for using Bayesian statistics in the segmentation, classification and restoration of images has been developed. The technique, called Bayesian morphology, is based on mathematical morphology and the ICM method. The idea behind this approach is that the ICM algorithm is equivalent to a form of mathematical morphology...
- Research articles 1999-06-01
- Regression analysis revisited
- Abstract Regression analysis is at the center of almost every forecasting technique, yet few people are comfortable with the regression methodology. We hope to improve the level of comfort with this article. Briefly we will discuss the theory behind the methodology and then outline a step-by-step procedure, which will...
- Research articles 2005-09-22
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