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on Computational Economics |
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Issue of 2011‒01‒23
seven papers chosen by |
| By: | Frank Beckenbach (Department of Economics, University of Kassel); David Hofmann (Department of Economics, University of Kassel) |
| Keywords: | mulit-agent modelling, material flow, analysis, AMOSS, material use, policy strategies, change, car plastics, behavoiur, simulation |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:kas:poabec:2010-11&r=cmp |
| By: | Maria Lykidi; Jean-Michel Glachant; Pascal Gourdel |
| Abstract: | In many countries, the electricity systems are quitting the vertically integrated monopoly organization for an operation framed by competitive markets. In such a competitive regime one can ask what the optimal management of the nuclear generation set is. We place ourselves in a medium-term horizon of the management in order to take into account the seasonal variation of the demand level between winter (high demand) and summer (low demand). A flexible nuclear set is operated to follow a part of the demand variations. In this context, nuclear fuel stock can be analyzed like a reservoir since nuclear plants stop periodically (every 12 or 18 months) to reload their fuel. The operation of the reservoir allows different profiles of nuclear fuel uses during the different seasons of the year. We analyze it within a general deterministic dynamic framework with two types of generation: nuclear and non-nuclear thermal. We study the optimal management of the production in a perfectly competitive market. Then, we build a very simple numerical model (based on data from the French market) with nuclear plants being not operated strictly as base load power plants but within a flexible dispatch frame (like the French nuclear set). Our simulations explain why we must anticipate future demand to manage the current production of the nuclear set (myopia can not be total). Moreover, it is necessary in order to ensure the equilibrium supply-demand, to take into account the non-nuclear thermal capacities in the management of the nuclear set. They also suggest that non-nuclear thermal could stay marginal during most of the year including the months of low demand. |
| Keywords: | Electricity Market; nuclear generation; optimal reservoir operation; electricity fuel mix; perfect competition with reservoir |
| Date: | 2010–09–15 |
| URL: | http://d.repec.org/n?u=RePEc:rsc:rsceui:2010/68&r=cmp |
| By: | Esposito, Francesco Paolo |
| Abstract: | This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS), standardized and bespoke collateralized debt obligations (CDO) and, in general, for any credit risk exposed A/L portfolio.\\ In this brief work we compute the market implied probability of default (PD) from market spreads and the theoretical CDS spreads from historical default frequencies. The loss given default (LGD) probability distribution has been constructed for a large pool portfolio of credit obligations exploiting a single-factor gaussian copula with a direct convolution algorithm computed at several default correlation parameters. Theoretical CDO tranche prices have been calculated. We finally design stochastic cash-flow stream model simulations to test fair pricing, compute credit value at risk (CV@R) and to evaluate the one year total future potential exposure (FPE) and derive the value at risk (V@R) for a CDO equity tranche exposure. |
| Keywords: | interest rate swap; spot rate term structure; credit default swap; probability of default; copula function; direct convolution; loss given default; collateralized debt obligation; exposure at default; stochastic cash-flow stream model; value at risk; credit value at risk; future potential exposure; Monte Carlo simulation. |
| JEL: | C0 C15 G0 |
| Date: | 2010–12–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:28045&r=cmp |
| By: | Steiner, Viktor; Wakolbinger, Florian |
| Abstract: | We analyze the labor supply and income effects of a needs-based minimum benefit system ('Bedarfsorientierte Mindestsicherung') to be introduced in Austria by the end of this/beginning of next year. The aim of this reform is to reduce poverty as well as increasing employment rates of recipients of social assistance. On the basis of a behavioral microsimulation model we show that this new system will slightly increase incomes for the poorest households and slightly reduce labor supply due to the generous allowances for marginal employment under the current and the planned regulations of unemployment assistance. As an alternative, we analyze a reform proposal which reduces financial incentives for marginal employment not covered by social security, and rewards working longer hours by a wage subsidy. Although this alternative reform would yield modest positive labor supply effects, a relatively large number of households would suffer income losses. -- |
| Keywords: | work incentives,labor supply,social safety system,microsimulation |
| JEL: | H31 I38 J22 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fubsbe:201019&r=cmp |
| By: | Frank Beckenbach (Department of Economics, University of Kassel); Norman Voss (Department of Economics, University of Kassel) |
| Abstract: | In this paper we present a methodology for assessing material flow dynamics and their regulation by including the level of suppliers, producers, consumers and waste treatment in the automotive industry and by combining economic and technological features of their activities. Given the complexity of these processes in terms of time and agency we use a multi-agent approach for such an analysis. |
| Keywords: | mulit-agent modelling, automotive industry, automotive, Germany, region, dynamic, waste, analysis, complexity |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:kas:poabec:2010-10&r=cmp |
| By: | M. Cristelli; L. Pietronero; A. Zaccaria |
| Abstract: | We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents' strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets. |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1101.1847&r=cmp |
| By: | Xian He; Erik Delarue; William D'haeseleer; Jean-Michel Glachant |
| Abstract: | Electricity storage is considered a valuable source of flexibility whose applications cover the whole electricity value chain. However, most of the existing evaluation methods for electricity storage are conceived for only one specific use of the storage, which often leads to the conclusion that the investment on storage does not pay off. We think that the value of storage cannot be properly estimated without taking into account the possibility of aggregating the services that storage can offer to different actors. In this paper, we propose a new business model that allows aggregating multiple revenue streams of electricity storage in a systematic way. The main idea of the business model is to coordinate a series of auctions in which the right to utilize the storage unit is auctioned in different time horizons. The model consists of an optimization module and a coordination mechanism. The former simulates the optimal strategy of a certain actor using the available storage capacities in a certain auction, while the latter ensures non-conflicting uses of storage by actors in different auctions. The functioning of the model is demonstrated by a case study. The results show that a storage unit can achieve a higher return on investment in the manner proposed in the business model. |
| Keywords: | electricity storage; business model; optimization |
| Date: | 2010–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:rsc:rsceui:2010/82&r=cmp |