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1.
Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of "diversifiable default risk." The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage-backed securities. 相似文献
2.
The availability of a stochastic repairable system depends on the failure behaviour and on repair strategies. In this paper,
we deal with a general repair model for a system using auxiliary counting processes and corresponding intensities which include
various degrees of repair (between minimal repair and perfect repair). For determining the model parameters we need estimators
depending on failure times and repair times: maximum likelihood (ML) estimator and Bayes estimators are considered. Special
results are obtained by the use of Weibull-type intensities and random observation times. 相似文献
3.
Increasing pressure on extensive farming systems in marginal areas requires them to become more resilient and adaptable to extreme conditions brought about by climate change. Yet these rangeland areas must also be protected as refuges for biodiversity and as important carbon stores. Recent United Kingdom policy initiatives are encouraging the use of traditional or native breeds of livestock to preserve genetic diversity, due to their perceived adaption to harsh environments and their value for managing extensive habitats for conservation. It is not clear however, whether these benefits are based on scientific evidence or perhaps more on current opinion; nor whether farm system practices are likely to change in response to these initiatives. This study offers an approach that can support future empirical studies designed to better inform such policy decisions.A survey was carried out to provide insight into current opinions regarding the impacts of cattle on hill environments and the cattle breeds appropriate for hill environments, before more detailed farm interviews provided data for a characterisation of suckler beef farming systems in Scotland using a typological approach. Survey results indicated that the majority of respondents believed cattle have a positive effect on hill environments when carefully managed, yet there was wide diversity in opinion regarding the type of impacts and most suitable breeds. Interview results highlighted the diversity of management systems, decision making processes and cattle types present and indicated significant variation in farmers’ views regarding breed hardiness, suitability and reasons for their choice of breed. Three system groups: Traditionalists, Improvers and Production optimisers, were clearly defined by the typology, with significant variation observed in their management practices and views. This study suggests that hill beef farmers appear to not only adapt their production systems according to their current bio-physical and financial circumstances, but also from personal experience. Accumulation of this kind of evidence is long overdue and could provide support to the development of any future policies regarding cattle and hill environments. 相似文献
4.
Jean‐François Coeurjolly Jesper Møller Rasmus Waagepetersen 《Revue internationale de statistique》2017,85(3):404-420
This tutorial provides an introduction to Palm distributions for spatial point processes. Initially, in the context of finite point processes, we give an explicit definition of Palm distributions in terms of their density functions. Then we review Palm distributions in the general case. Finally, we discuss some examples of Palm distributions for specific models and some applications. 相似文献
5.
Kazuo Nishimura Alain Venditti Makoto Yano 《International Journal of Economic Theory》2010,6(1):97-125
This paper investigates the interlinkage in the business cycles based on expectation-driven fluctuations of large-country economies in a free-trade equilibrium. We consider a two-country, two-good, two-factor general equilibrium model with sector-specific externalities. We show that some country's expectation-driven fluctuations can spread throughout the world once trade opens even if the other country has determinacy under autarky. We thus prove that under free trade, globalization and market integration can have destabilizing effects on a country's competitive equilibrium. Finally, we characterize a configuration in which opening to international trade improves the stationary welfare at the world level but deteriorates the stationary welfare of the country that imports investment goods and exports consumption goods. We conclude that in opposition to the standard belief, international trade might not be beneficial to all trading partners in the long run. 相似文献
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7.
Siu-kee Wong 《International Journal of Economic Theory》2005,1(4):277-297
This paper considers the commodity prices–factor prices relation in models with more factors than consumption goods. Under some simple factor substitutability assumptions, many results in the n × n cases have counterparts in the l × n cases. The proportional price changes of the "middle factors" will be trapped between those of the "extreme factors". A weak and a strong Stolper–Samuelson theorem can also be proven. If the numbers of goods and perfectly complementary factors are equal and the production functions have the nested constant elasticity of substitution form, two of the complementary factors would have the most extreme relative price changes, regardless of the factor intensities. 相似文献
8.
In this article, we introduce the so-called stochastic conditionalintensity (SCI) model by extending Russells (1999) autoregressiveconditional intensity (ACI) model by a latent common dynamicfactor that jointly drives the individual intensity components.We show by simulations that the proposed model allows for awide range of (cross-)autocorrelation structures in multivariatepoint processes. The model is estimated by simulated maximumlikelihood (SML) using the efficient importance sampling (EIS)technique. By modeling price intensities based on NYSE trading,we provide significant evidence for a joint latent factor andshow that its inclusion allows for an improved and more parsimoniousspecification of the multivariate intensity process. 相似文献
9.
Daniel Gregg John Rolfe 《The Australian journal of agricultural and resource economics》2018,62(3):394-419
An important challenge in managing renewable resources is to understand why owners and managers sometimes make decisions that deplete resources and future earnings, such as when graziers allow pastures and land condition to be degraded. In this paper, we test two potential reasons for unsustainable management practices, myopia and salience, with each explaining why resource managers may exhibit impatience in harvest decisions. Myopia is associated with decision makers placing lower weight on future outcomes than would be implied by their pure time preference. Salience is associated with overweighting of consumption ‘now’, implying inconsistency in time preferences. To test for these effects on renewable resource management, an incentivised, dynamic field experiment was carried out with rangeland grazing enterprise owners in north‐eastern Australia that related management choices with uncertain rainfall events to both profits and land condition over time. Results demonstrate that respondents exhibiting myopia/salience in their choices tended to achieve lower cumulative scores in the experiment, as well as lower land conditions on their properties as measured with remote sensing data. Our results explain why there may be persistent optimisation failures by resource owners that reduce both profits and environmental outcomes. 相似文献
10.
《国际农业可持续发展杂志》2013,11(4):233-235
Most agronomic research seeks to limit the variability of productivity, offering universal ‘recipe knowledge’ that attempts to overwhelm contextual differences. Based on participatory research with a group of eight graziers in Wisconsin, we present the counter hypothesis that the productivity of variability is a key principle of agroecology. Contextual variability across space and time presents farmers with productive opportunities. Appreciating these contextual possibilities offers a universal principle that is not also a recipe. 相似文献