Results 211 to 220 of about 122,744 (306)

Playing with fire? A mean‐field game analysis of fire sales and systemic risk under regulatory capital constraints

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley   +1 more source

A Markov approach to credit rating migration conditional on economic states

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley   +1 more source

Bayesian clustering of multivariate extremes

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley   +1 more source

Resonance‐induced restoration of rock permeability degraded by heavy components of crude oil

open access: yesDeep Underground Science and Engineering, EarlyView.
Resonance‐induced changes occur in filtration properties of sedimentary rocks in crude paraffin oil flow under acoustic vibrations. Experimental data on (a) pressure drop; (b) permeability; (c) pressure at the rock inlet; and (d) pressure at the rock outlet are presented.
Evgenii Riabokon   +6 more
wiley   +1 more source

Geological and geotechnical challenges on the Great Dyke of Zimbabwe and their impact on hardrock pillar design

open access: yesDeep Underground Science and Engineering, EarlyView.
The Great Dyke of Zimbabwe is notable for its rich platinum group metal deposits but poses significant geological and geotechnical challenges due to its complex rock types and structural features. Traditional pillar design methods are insufficient for addressing these complexities; the study suggests incorporating advanced techniques such as machine ...
Tawanda Zvarivadza   +3 more
wiley   +1 more source

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