Related papers: On the implicit interest rate in the Yunus equatio…
Mortgage prepayments play a crucial role in the pricing and hedging of mortgage backed securities. An important feature of mortgage prepayment modeling is burnout; as time goes on those borrowers who have the greatest tendency to refinance…
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems science and its multidisciplinary approach, we use the…
In this paper, we present a Newton-like method based on model reduction techniques, which can be used in implicit numerical methods for approximating the solution to ordinary differential equations. In each iteration, the Newton-like method…
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunus, who received the Nobel Peace Prize in recognition of his…
The estimate of a Multiperiod probability of default applied to residential mortgages can be obtained using the mean of the observed default, so called the Mean of ratios estimator, or aggregating the default and the issued mortgages and…
We argue that a negative interest rate policy (NIRP) can be an effect tool for macroeconomic stabilization. We first discuss how implementing negative rates on reserves held at a central bank does not pose any theoretical difficulty, with a…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
Digital loans have exploded in popularity across low and middle income countries, providing short term, high interest credit via mobile phones. This paper reports the results of a randomized evaluation of a digital loan product in Nigeria.…
The Consumer Financial Protection Bureau defines the notion of payoff amount as the amount that has to be payed at a particular time in order to completely pay off the debt, in case the lender intends to pay off the loan early, way before…
Implicit models, which allow for the generation of samples but not for point-wise evaluation of probabilities, are omnipresent in real-world problems tackled by machine learning and a hot topic of current research. Some examples include…
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the…
In this paper an efficient and reliable method for stochastic yield estimation is presented. Since one main challenge of uncertainty quantification is the computational feasibility, we propose a hybrid approach where most of the Monte Carlo…
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…
Functional iterations such as Newton's are a popular tool for polynomial root-finding. We consider realistic situation where some (e.g., better-conditioned) roots have already been approximated and where further computations is directed to…
This work studies the global convergence and implicit bias of Gauss Newton's (GN) when optimizing over-parameterized one-hidden layer networks in the mean-field regime. We first establish a global convergence result for GN in the…
Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirical test of this `irrelevance hypothesis' based on the simple…
Inference for doubly intractable distributions is challenging because the intractable normalizing functions of these models include parameters of interest. Previous auxiliary variable MCMC algorithms are infeasible for multi-dimensional…
High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take historical time series for nominal interest…