178 research outputs found
The VaR at Risk.
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and when the subsidiaries are subject to capital requirements according to the Value-at-Risk budgeting rule, then there is an optimal way to divide risk which is such that the total amount of capital to be budgeted by the shareholder is zero. This result may lead to regulatory arbitrage by some firms.Value-at-Risk;
Exponential convergence for a convexifying equation and a non-autonomous gradient flow for global minimization
We consider an evolution equation similar to that introduced by Vese and
whose solution converges in large time to the convex envelope of the initial
datum. We give a stochastic control representation for the solution from which
we deduce, under quite general assumptions that the convergence in the
Lipschitz norm is in fact exponential in time. We then introduce a
non-autonomous gradient flow and prove that its trajectories all converge to
minimizers of the convex envelope
The var at risk
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.value-at-risk
Matching with Trade-offs: Revealed Preferences over Competiting Characteristics
We investigate in this paper the theory and econometrics of optimal matchings with competing criteria. The surplus from a marriage match, for instance, may depend both on the incomes and on the educations of the partners, as well as on characteristics that the analyst does not observe. The social optimum must therefore trade off matching on incomes and matching on educations. Given a exible specification of the surplus function, we characterize under mild assumptions the properties of the set of feasible matchings and of the socially optimal matching. Then we show how data on the covariation of the types of the partners in observed matches can be used to estimate the parameters that define social preferences over matches. We provide both nonparametric and parametric procedures that are very easy to use in applications.matching, marriage, assignment.
The var at risk
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk
On the representation of the nested logit model
We give a two-line proof of a long-standing conjecture of Ben-Akiva and
Lerman (1985) regarding the random utility representation of the nested logit
model, thus providing a renewed and straightforward textbook treatment of that
model. As an application, we provide a closed-form formula for the correlation
between two Fr\'echet random variables coupled by a Gumbel copula
Vector Quantile Regression: An Optimal Transport Approach
We propose a notion of conditional vector quantile function and a vector
quantile regression. A \emph{conditional vector quantile function} (CVQF) of a
random vector , taking values in given covariates ,
taking values in , is a map ,
which is monotone, in the sense of being a gradient of a convex function, and
such that given that vector follows a reference non-atomic distribution
, for instance uniform distribution on a unit cube in , the
random vector has the distribution of conditional on
. Moreover, we have a strong representation, almost
surely, for some version of . The \emph{vector quantile regression} (VQR) is
a linear model for CVQF of given . Under correct specification, the
notion produces strong representation, , for
denoting a known set of transformations of , where is a monotone map, the gradient of a convex function, and
the quantile regression coefficients have the
interpretations analogous to that of the standard scalar quantile regression.
As becomes a richer class of transformations of , the model becomes
nonparametric, as in series modelling. A key property of VQR is the embedding
of the classical Monge-Kantorovich's optimal transportation problem at its core
as a special case. In the classical case, where is scalar, VQR reduces to a
version of the classical QR, and CVQF reduces to the scalar conditional
quantile function. An application to multiple Engel curve estimation is
considered
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