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
Efficient Estimation With A Priori Informationby Thomas J. Rothenberg - Yale University Press
This book presents an attempt at unifying certain aspects of econometric theory by embedding them in a more general statistical framework. The unifying feature is the use of a priori information and the basic tool is the Cramer-Rao inequality.
(4882 views)
Statistical Tools for Economistsby Daniel McFadden - University of California, Berkeley
The contents: Economic Analysis and Econometrics; Analysis and Linear Algebra in a Nutshell; Probability Theory in a Nutshell; Limit Theorems in Statistics; Experiments, Sampling, and Statistical Decisions; Estimation; Hypothesis Testing.
(14488 views)
Econometricsby Michael Creel - Universitat Autonoma de Barcelona
Textbook for graduate econometrics, it teaches ordinary least squares, maximum likelihood estimation, restrictions and hypothesis test, stochastic regressors, exogeneity and simultaneity, numeric optimization methods, method of moments, etc.
(14417 views)
Urban Travel Demand: A Behavioral Analysisby Tom Domencich, Daniel L. McFadden - North-Holland Publishing
'Urban Travel Demand' develops a theory of demand for populations of individual economic consumers which we believe is a logical and natural generalization of traditional theory to encompass choice among discrete alternatives.
(7543 views)