Related papers: Rating models: emerging market distinctions
It is often the case that risk assessment and prognostics are viewed as related but separate tasks. This chapter describes a risk-based approach to prognostics that seeks to provide a tighter coupling between risk assessment and fault…
Information exchange systems differ in many ways, but all share a common vulnerability to selfish behavior and free-riding. In this paper, we build incentives schemes based on social norms. Social norms prescribe a social strategy for the…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
Many forecasts consist not of point predictions but concern the evolution of quantities. For example, a central bank might predict the interest rates during the next quarter, an epidemiologist might predict trajectories of infection rates,…
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the…
This Element offers a practical guide to estimating conditional marginal effects-how treatment effects vary with a moderating variable-using modern statistical methods. Commonly used approaches, such as linear interaction models, often…
Biases with respect to socially-salient attributes of individuals have been well documented in evaluation processes used in settings such as admissions and hiring. We view such an evaluation process as a transformation of a distribution of…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
The non-identifiability of the competing risks model requires researchers to work with restrictions on the model to obtain informative results. We present a new identifiability solution based on an exclusion restriction. Many areas of…
The measurable properties of the artifacts or objects in the computer, management, or finance disciplines are extrinsic, not inherent -- dependent on their problem definitions and solution instantiations. Only after the instantiation can…
New, emerging domains such as the engineering of wireless Internet services are characterized by a lack of experience based on quantitative data. Systematic tracking and observation of representative pilot projects can be seen as one means…
Industrial monitoring systems, especially when deployed in Industry 4.0 environments, are experiencing a shift in paradigm from traditional rule-based architectures to data-driven approaches leveraging machine learning and artificial…
Unambiguous identification of the rewards driving behaviours of entities operating in complex open-ended real-world environments is difficult, partly because goals and associated behaviours emerge endogenously and are dynamically updated as…
Access to capital is a major constraint for economic growth in the developing world. Yet those attempting to lend in this space face high defaults due to their inability to distinguish creditworthy borrowers from the rest. In this paper, we…
Large Language Models (LLMs) demonstrate significant potential in multi-agent negotiation tasks, yet evaluation in this domain remains challenging due to a lack of robust and generalizable benchmarks. Abdelnabi et al. (2024) introduce a…
In this paper we propose and develop a relatively simple and efficient approach for estimating unknown elements of a user-rating matrix in the context of a recommender system (RS). The critical theoretical property of the method is its…
Identifying systemic risk patterns in geopolitical, economic, financial, environmental, transportation, epidemiological systems and their impacts is the key to risk management. This paper proposes a new nonlinear time series model:…
Commonly, AI or machine learning (ML) models are evaluated on benchmark datasets. This practice supports innovative methodological research, but benchmark performance can be poorly correlated with performance in real-world applications -- a…
Machine learning is about forecasting. When the forecasts come with an evaluation metric the forecasts become useful. What are reasonable evaluation metrics? How do existing evaluation metrics relate? In this work, we provide a general…