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Displaying results 1 to 4 of 4.

  1. Kriging
    methods and applications
    Author: Kleijnen, Jack P. C.
    Published: 21 November 2017
    Publisher:  CentER, Center for Economic Research, Tilburg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 37 (2017,47)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Discussion paper / CentER, Center for Economic Research ; no. 2017, 047
    Subjects: Gaussian process; Latin hypercube; deterministic simulation; random simulation; sensitivity analysis; optimization
    Scope: 1 Online-Ressource (circa 18 Seiten)
  2. Optimal non-asymptotic bound of the Ruppert-Polyak averaging without strong convexity
    Author: Gadat, Sébastien; Panloup, Fabien
    Published: [2017]
    Publisher:  Toulouse School of Economics, [Toulouse]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 330
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 856 (17)
    Subjects: stochastic algorithms; optimization; averaging
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Compressing over-the-counter markets
    Author: D'Errico, Marco; Roukny, Tarik
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of... more

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 611
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    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we show conditions under which such excess can be removed. We refer to this netting operation as compression and identify feasibility and efficiency criteria, highlighting intermediation as the key element for excess levels. We show that a tradeoff exists between the amount of notional that can be eliminated from the system and the conservation of original trading relationships. Third, we apply our framework to a unique and comprehensive transaction-level dataset on OTC derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates to excess. While around 50% can in general be removed via bilateral compression, more sophisticated multilateral compression approaches are substantially more efficient. In particular, we find that even the most conservative multilateral approach which satisfies relationship constraints can eliminate up to 98% of excess in the markets.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295081932
    Other identifier:
    hdl: 10419/193551
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 44 (May 2017)
    Subjects: financial market; information network; financial policy; econometrics; prices; OTC markets; compression; intermediation; derivatives; networks; optimization
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  4. Design and analysis of simulation experiments
    tutorial
    Author: Kleijnen, Jack P. C.
    Published: 21 March 2017
    Publisher:  CentER, Center for Economic Research, Tilburg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 37 (2017,18)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Discussion paper / CentER, Center for Economic Research ; no. 2017, 018
    Subjects: regression; Kriging; Gaussian process; factor screening; optimization; risk analysis
    Scope: 1 Online-Ressource (circa 26 Seiten)