搜索结果: 1-4 共查到“经济学 Deviations”相关记录4条 . 查询时间(0.132 秒)
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
Black swans or dragon kings? A simple test for deviations from the power law
test deviations power law great natural disasters financial crashes electricity price spikes
2011/3/23
We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great ...
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Recovery Rates investment-grade pools credit assets
2010/10/20
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure...
GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries
GDP Deviations Yield Spread E.U. Countries
2010/10/20
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...