Stochastic Optimal Control, and U.S. Debt Crises
by Jerome Stein
Publisher: Springer 2012
ISBN/ASIN: 146143078X
ISBN-13: 9781461430780
Number of pages: 180
Description:
Stochastic Optimal Control (SOC) is very helpful in understanding and predicting debt crises. The mathematical analysis is applied empirically to the financial debt crisis of 2008, the crises of the 1980s and concludes with an analysis of the European debt crisis. I use SOC to derive a theoretically founded quantitative measure of an optimal, and an excessive leverage/ debt/ risk that increases the probability of a crisis. The optimal leverage balances risk against expected growth. The environment is stochastic: the capital gain, productivity of capital and interest rate are stochastic variables, and for an insurance company, such as AIG, the claims are also stochastic. I associate the housing price bubble with the growth of household debt. A bubble is dangerous insofar as it induces a non-sustainable debt. This danger is exacerbated insofar as a complex financial system is based upon it.
Download or read it online for free here:
Download link
(multiple PDF files)
Similar books
Qualitative Choice Analysis: Theory, Econometrics, and an Application to Automobile Demandby Kenneth Train - The MIT Press
This book is a comprehensive but concise text that covers the recently developed and widely applicable methods of qualitative choice analysis, illustrating the general theory through simulation models of automobile demand and use.
(7291 views)
Financial Econometricsby Roman Kozhan - BookBoon
This is a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by examples of how they can be implemented in EViews.
(11391 views)
Statistical Inference in Dynamic Economic Modelsby Tjalling C. Koopmans - John Wiley & Sons
Quantitative economic study has a threefold basis: it is necessary to formulate economic hypotheses, to collect appropriate data, and to confront hypotheses with data. The latter task, statistical inference in economics, is discussed in this book.
(5918 views)
Advances in Econometrics: Theory and Applicationsby Miroslav Verbič - InTech
This book provides recent insight on some key issues in econometric theory and applications. It focuses on three recent advances in econometric theory: non-parametric estimation, instrument generating functions, and seasonal volatility models.
(10938 views)