Listar por autor "Sarmiento, Camilo"

Mostrando ítems 1-17 de 17

    • Benchmarking collateral of triple-a rated securities 

      Sarmiento, Camilo (Washington D.C., 2020)
      This paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the ...

    • Credit securitization decisions 

      Sarmiento, Camilo (Routledge Taylor and Francis Group, 2012)
      Government Sponsor Enterprises (GSEs) purchase mor tgage loans from approved lenders, either for cash or in exchange for a mortgage-backed security that comprises thoseloans.TheGSEs guarantee timelypayment ofinter est and ...

    • Empirical modelling of the aggregation error in the representative consumer model 

      Sarmiento, Camilo; Just, Richard (Taylor and Francis GroupEstados Unidos, 2005)
      This paper examines different approaches to modelling the aggregation error associated with the representative consumer model. Each approach is based on an analytical framework intended for modelling aggregate time series ...

    • The examination of pecan price differences using spatial correlation estimation 

      Sarmiento, Camilo; Wojciech J., Florkowski (Taylor and Francis GroupEstados Unidos, 2005)
      A spatial analysis is used to model factors that explain the price received by pecan growers. Besides the statistical aspect of the study focussing on spatial utoregressive residuals, the economic analysis of the paper ...

    • Financial impact of risk on municipal earnings 

      Sarmiento, Camilo (Taylor and Francis GroupEstados Unidos, 2007)
      To evaluate the relation between regional earnings and risk across the US economy, this article uses a heteroscedastic model that captures earnings uncertainty. We then implement a nonlinear estimator that simultaneously ...

    • The impact of flood hazards on local employment 

      Sarmiento, Camilo (Taylor and Francis GroupEstados Unidos, 2007)
      In a spatial model of aggregate municipal employment, this article shows statistically that floods disrupt employment in municipalities. Flood events decrease local employment on average by 3.4%. Employment levels, however, ...

    • A mean squared error estimator of market size in hedonic price analysis 

      Sarmiento, Camilo (Taylor and Francis GroupEstados Unidos, 2005)
      This paper presents a spatial kernel estimator that allows coefficients and market size to be estimated at the observation of interest. In economic terms, the bandwidth length of the spatial kernel estimator captures the ...

    • Modelling firm heterogeneity with spatial ‘trends’ 

      Sarmiento, Camilo (Taylor and Francis GroupEstados Unidos, 2004)
      The hypothesis underlying this article is that firm heterogeneity can be captured by spatial characteristics of the firm (similar to the inclusion of a time trend in time series models). The hypothesis is examined in the ...

    • A note on commodity price aggregation bias without separability 

      Sarmiento, Camilo; Just, Richard E. (Taylor and Francis GroupEstados Unidos, 2006)
      This study identifies sources of price aggregation bias when separability restrictions do not apply. It shows that even though the assumption of the generalized composite commodity theorem guarantees aggregate integrability, ...

    • Note rate modifications and subprime default rates 

      Sarmiento, Camilo (Routledge Taylor and Francis GroupEstados Unidos, 2009)
      An important instrument to mitigate credit losses is modification of note rates of distressed borrowers. From a logistic model of early default, this article inferred the note rate impact on loan default probabilities, ...

    • Regime changes in sub-prime margins under the US housing bubble 

      Sarmiento, Camilo (Routledge Taylor and Francis GroupEstados Unidos, 2009)
      Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans ...

    • The role of the economic environment on mortgage defaults during the Great Recession 

      Sarmiento, Camilo (Routledge Taylor and Francis Group, 2012)
      This article shows that the rise in unemployment played a very significant factor in the rise of mortgage delinquencies during the Great Recession. Estimation results, moreover, show that changes in the Unemployment Rate ...

    • Spatial Competition and Ethanol Plant Location Decisions 

      Sarmiento, Camilo; Wilson, William W.; Dahl, Bruce (Wiley Online Library, 2012)
      Ethanol is one of the fastest growing industries in the United States. This study estimates factors that impact location decisions for new ethanol plants using logistic regression analysis and spatial correlation techniques. ...

    • Spatial modeling in technology adoption decisions: the case of shuttle train elevators 

      Sarmiento, Camilo; Wilson, William W. (American Agricultural Economics AssociationEstados Unidos, 2005-11)
      This article empirically models a strategic game of technology adoption of shuttle train grain elevators with information on location of the firm and its competitors. A spatial econometric model illustrates the role of ...

    • Spatially correlated exit strategies in the baking industry 

      Sarmiento, Camilo; Wilson, William W. (Taylor and Francis GroupEstados Unidos, 2007)
      This article uses a unique data set to analyse economic factors that explain firm exit and the interrelation across firms in space when exiting. Results show the effectiveness of modelling spatial correlation in a logit ...

    • Statistical analysis of municipal bond ratings under spatial correlation 

      Sarmiento, Camilo (Taylor and Francis GroupEstados Unidos, 2006)
      Este estudio utiliza un modelo logit espacial para evaluar el efecto estadístico de las condiciones de las comunidades en las calificaciones de los bonos municipales. Se encuentra que los ingresos privados (no agrícolas) ...

    • A varying coefficient approach to global flexibility in demand analysis: a semiparametric approximation 

      Sarmiento, Camilo (American Agricultural Economics AssociationEstados Unidos, 2005-02)
      To reduce dimensionality issues, this article derives a globally flexible demand system that can be estimated non-parametrically with a specially devised temporal kernel. Statistical and economic results from a meat demand ...