infonet-economy

Lorenz curves and second-order dominance criteria, the fundamental tools for stochastic dominance, are known to be sensitive to data contamination in the tails of the distribution. We propose two ways of dealing with the problem: (1) Estimate Lorenz curves using parametric models and (2) combine empirical estimation with a parametric (robust) estimation of the upper tail of the…

In this paper we study bias-corrections to the weighted MLE (Dupuis and Morgenthaler, 2002), a robust estimator simply defined through a weighted score function. Indeed, although the WMLE is relatively simple to compute, for most models it is not consistent and hence not very helpful. For example, the model we consider in this paper is the generalized linear latent variable model (…

The risk management of non-maturing account positions in a bank's balance like savings deposits or certain types of loans is complicated by the embedded options that clients may exercise. In addition to the usual interest rate risk, there is also uncertainty in the timing and amount of future cash flows. Since the corresponding volume risk cannot directly be hedged, the account…

Distributional dominance criteria are commonly applied to draw welfare inferences about comparisons, but conclusions drawn from empirical implementations of dominance criteria may be influenced by data contamination.We examine a nonparametric approach to refining Lorenz-type comparisons and apply the technique to two important examples from the Luxembourg Income Study database.

Non-maturing assets and liabilities (NoMALs) are those positions in a bank's balance that have no contractual maturity such as traditional savings deposits. For the calculation of transfer prices and the quantification of interest rate risk, a fix maturity profile must be assigned to a NoMAL position. Usually a replicating portfolio of fixed-income instruments with constant…

Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings such as income distributions (for inequality measurement), finance (for the evaluation of the value at risk), and insurance (determination of loss probabilities) among others. The upper tail of the distribution in which the data are sparse is typically fitted with a model such…

In affective psychology, there is a persistent controversy about the number, the nature and the definition of the affect structure dimensions. Responding to the methodological criticisms addressed to the preceding studies, we conciliated the principal theories regarding the affect structure with the same experimental setting. In particular, using the semantic items all around the…

This paper presents a multistage stochastic programming model for refinancing mortgages with non-contractual maturity under liquidity restrictions in the market. An extension to the management of other products such as savings accounts is straightforward. The evolution of interest rates is modelled by principal components for short-term and a two-factor mean reversion model with long…

Structural equation models have been around for now a long time. They are intensively used to analyze data from di.erent fields such as psychology, social sciences, economics, management, etc. Their estimation can be performed using standard statistical packages such as LISREL. However, these implementations su.er from an important drawback: they are not suited for cases in which the…