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Income and Wealth Distributions Along the Business Cycle: Implications from the Neoclassical Growth Model
Neoclassical growth model heterogeneous agents aggregation business cycle income and wealth distributions inequality
2015/7/21
This paper studies the business cycle dynamics of income and wealth distributions in the context of the neoclassical growth model where agents are heterogeneous in initial wealth and non-acquired skil...
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Microscopic understanding of heavy-tailed return distributions agent-based model
2012/9/14
The distribution of returns in nancial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby ...
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
Size-Dependency of Income Distributions and Its Implications
Size-Dependency Income Distributions Implications
2011/1/4
This paper highlights the size-dependency of income distributions, i.e. the income distribution curves change with the population of a country systematically. By using the generalized Lotka-Volterra m...
Equilibrium distributions in gas-like economic models: an analytical derivation
econophysics economic models molecular dynamics
2010/10/22
A step by step procedure to derive analytically the exact steady state probability density function of well known kinetic wealth exchange economic models is shown. This gives as a result an integro-d...
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build t...
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
Calculation of aggregate loss distributions
aggregate loss distribution compound distribution
2010/10/21
Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Clo...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
Nonuniversal distributions of stock returns in an emerging market
stock returns emerging market
2010/4/27
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic...
Nonuniversal distributions of stock returns in an emerging market
Nonuniversal distributions stock returns emerging market
2010/10/19
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic...
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...
The impact of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate ...
The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
alchemy probability distributions rank transmutation map
2010/10/29
Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering wider statistical app...
Market Implied Probability Distributions and Bayesian Skew Estimation
Market Implied Probability Distributions Bayesian Skew Estimation
2010/11/2
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the...