The validation exercises show that our copula-based approach can approximate much closer to the top tax data and wealth “rich list” than those unconditional marginal extrapolations. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one margin conditional on the characteristics of the other. One distinct feature of our paper is to complement the model fit with external validation. The copula modelling grants the separability in choosing the estimation domain as well as the parametric specification between the marginal distribution and dependence structure. We leverage the bivariate copula to extrapolate both income and wealth distributions from German PHF (Panel on Household Finance) data under the incidental truncation model. This paper develops the technique of incorporating the joint distributional relationship to enhance the estimation of these two top distributions by using the best data available for Germany.
Top distributions of income and wealth are still incompletely measured in many national statistics, particularly when using survey data.
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A Free and Fair Economy: A Game of Justice and Inclusion (C7, D7) We also find that mark-to-market price feedbacks have considerable adverse impact on the stability of the system, while that the mutualization of losses has a strong stabilizing effect. In addition, a CCP mitigates contagion measured by lower amount of 2nd-round defaults. We find that in a system with a single CCP overall less defaults occur than in a system without a CCP. We compare the stability of the networks with and without a CCP by analyzing i) endogenous feedback effects between CM defaults and market liquidity, ii) the contagion to non-defaulting CM as well as iii) the contagion from service functions that CMs provide to the CCPs, such as liquidity provision or collateral and investment services.
Moreover, we analyze the stability of the network of counterparties in a system with and without a CCP. We also model the margin shortfalls and the entire default waterfall in case of CM defaults. We simulate the balance sheets and the leverage of the CCP and the CMs as a result of the market price movements. Agents are profit optimizing and are exposed to market risk. Bye.We put forward a partial equilibrium model of a central counterparty (CCP) and clearing members (CM). Forget the past, don’t worry about tomorrow, just make it better, right here right now, amen? Good stuff huh? And before any sarcastic smart-ass comments start pouring in here, the misspellings were on purpose, and of course I don’t literally mean forget the past, I just mean, for Your own self being and a better today, don’t freaking dwell on past mistakes, it happened, it’s over, nothing we can do to change the past. Quit being a victim, instead, start being the betterment, You wish to see in this World. If You seriously wish to think for a moment, it’s anything about Race, You should stop trying to find fault in this World, and instead, try to help others, regardless of color, sex, preferences, blah blah blah. It’s a fictional scenario, where two young good looking individuals are having a freakin moment of “feeling connected”. As far as racism goes? Seriously? So dumb, nothing close to racist.
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