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Real Output Costs of Financial Crises: A Loss Distribution Approach
Real Output Costs Financial Crises Loss Distribution Approach Risk Management
2012/3/2
The adverse effects of financial crises in terms of output losses or output growth below its potential can be treated like losses from catastrophic events which have a low likelihood but a large impac...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
An statistical analysis of stratification and inequity in the income distribution
statistical analysis stratification the income distribution
2011/1/4
The analysis of the USA 2001 income distribution shows that it can be described by at least two main components, which obey the generalized Tsallis statistics with different values of the q parameter....
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
Statistical mechanics approach to the probability distribution of money
Statistical mechanics probability distribution of money
2010/10/21
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as r...
Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/10/20
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
A New Approximation to the Normal Distribution Quantile Function
Normal Distribution Quantile Function
2010/10/18
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2...
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...
Implementing Loss Distribution Approach for Operational Risk
operational risk loss distribution approach Bayesian inference dependence modeling
2010/10/29
To quantify the operational risk capital charge under the current regulatory framework
for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution
Approach. There are ma...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Scaling in the distribution of intertrade durations of Chinese stocks
Scaling distribution intertrade durations Chinese stocks
2010/12/17
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on ...
“中国经济研讨会”第十三讲
题目：Delegated monitoring and bank size distribution
时间：4月11日（周三）上午9：30—11：30
地点：万众楼小教室
主讲人：孙希芳
“中国经济研讨会”简介：
“中国经济研讨会”是中国经济研究中心从2006年10月开始举办的一项常规性学术活动，旨在为校内外从事中国经济及其相关领域研究的青年教师、博硕士研究...
DOES THE STOCK MARKET AFFECT INCOME DISTRIBUTION? SOME EMPIRICAL EVIDENCE FOR THE US
common trends model economic growth stock market income distribution
2014/6/26
What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of eco...