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Full-Text Articles in Physical Sciences and Mathematics
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection School Of Economics
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …
An Agent-Based Commodity Trading Simulation, Shih-Fen Cheng, Yee Pin Lim
An Agent-Based Commodity Trading Simulation, Shih-Fen Cheng, Yee Pin Lim
Research Collection School Of Computing and Information Systems
In this paper, an event-centric commodity trading simulation powered by the multiagent framework is presented. The purpose of this simulation platform is for training novice traders. The simulation is progressed by announcing news events that affect various aspects of the commodity supply chain. Upon receiving these events, market agents that play the roles of producers, consumers, and speculators would adjust their views on the market and act accordingly. Their actions would be based on their roles and also their private information, and collectively they shape the market dynamics. This simulation has been effectively deployed for several training sessions. We will …
House Of Cards, M. Thulasidas
House Of Cards, M. Thulasidas
Research Collection School Of Computing and Information Systems
We are in dire straits - no doubt about it. Our banks and financial edifices are collapsing. Those left standing also look shaky. The financial industry as a whole is battling to survive. And, as its frontline warriors, we will bear the brunt of the blood- bath sure to ensue any minute now. A good opportunity to play solitaire?
Chaos And Uncertainty, M. Thulasidas
Chaos And Uncertainty, M. Thulasidas
Research Collection School Of Computing and Information Systems
The end of 2008 in the finance industry can be summarized in two words – chaos and uncertainty. The subprime crisis, where everybody lost; the dizzying commodity price movements; the pink slip syndrome; the spectacular bank busts; and the gargantuan bail-outs all vouch for it.