We present a stress testing approach based on a dynamic model of default. Retail credit models are implemented using discrete survival analysis which enables macroeconomic conditions to be included directly as time-varying covariates. In consequence, these models can be used for stress testing by determining changes in default given downturn economic scenarios. In particular Monte Carlo simulat...

â â â  â â â â â  the aim of this paper is to simulate the effects of some macroeconomic policy tools on production and inflation of iran by the current worldwide financial and real crisis. the theoretical framework of the analysis is based on the so-called ‘imf/world bank integrated model’ which is the synthesis (a merger) of the basic monetary approach of the balance of payments used at t...

This paper gives a brief introduction to the theory of dynamic games as developed mostly by control theorists and engineers and presents some economic applications of this theory. The paper shows how the theory of dynamic games can be applied to problems of economic policy-making with heterogeneous policy-makers, whose behavior is characterized by strategic interactions. In particular, for the ...

The implementation results of an algorithm designed to solve semi-in&nite programming problems are reported. Due to its computational intensity, parallelisation is used in two stages of the algorithm—for evaluating the global optimum and for checking the feasibility of constraints. The algorithms are parallelised using MPI—the message passing interface. The algorithms are then applied to engine...

This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, an...

This paper discusses and contrasts different approaches to the construction of dynamic model> containing unobservables. It is argued that some analysis is easy IO cam out wing Dynamic Factor Analysis (DFA). a frequency domain technique, while other analysis is easier to carry clut in the context of a Dynamic Multiple Indicator-Multiple Cause Model (DYMIMIC), a time domain technique. An example ...

T he world economy has experienced a bulk of positive and negative shocks in crude oil prices and exchange rates over the years, and that global inflation has undergone some changes. Such shocks have affected the macroeconomic variables in the countries of the world and have challenged the economies of these countries, and have led them to take different measures to protect themselves agai...