Dataset Information

Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019).

ABSTRACT: This study provides a holistic and quantitative overview of over 800 mathematical methods (e.g., financial and risk models, statistical tests, statistics and advanced algorithms) taken out of sampled scientific literature on quantitative modelling, particularly, from financial and risk modelling by applying a bibliometric approach from 2008 to 2019 and a citation network analysis. This is done to elaborate on the influence in the field after the Financial Crisis 2008. We present a content analysis of journals, main topics, applied data sets and frontiers within quantitative modelling and highlight details about quantitative features such as implemented models, algorithms and aggregated model-family combinations. Moreover, we describe explications and ties to empirical stylised facts (e.g., asymmetry or nonlinearity). Finally, we discuss insights such as our main finding, namely, the non-existence of a "single-best"-approach as well as the future prospects.

Supplementary information

The online version contains supplementary material available at 10.1007/s43546-022-00359-3.

SUBMITTER: Vogl M

PROVIDER: S-EPMC9645758 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019).

Vogl Markus M

SN business & economics 20221109 12

This study provides a holistic and quantitative overview of over 800 mathematical methods (e.g., financial and risk models, statistical tests, statistics and advanced algorithms) taken out of sampled scientific literature on quantitative modelling, particularly, from financial and risk modelling by applying a bibliometric approach from 2008 to 2019 and a citation network analysis. This is done to elaborate on the influence in the field after the Financial Crisis 2008. We present a content analys ...[more]

PMID: 36407752

Similar Datasets

Project description:Objectives and settingAlthough psychotropic drugs are used to treat mental health disorders, little evidence analyses the effects the 2008 economic downturn had on psychotropic drug consumption in the case of Spain. We analyse these effects, considering both gender and employment situation.ParticipantsWe used the microdata from the face-to-face cross-sectional population-based Spanish National Health Survey for two periods: 2006-2007 (n=28 954) and 2011-2012 (n=20 509). Our samples included adults (>15 years old).MethodsThe response variables are consumption (or not) of antidepressants or sedatives and the explanatory variables are the year of the survey, gender and employment status. Covariates are mental health problems, mental health index General Health Questionnaire (GHQ-12) and self-reported health outcome variables such as self-rated health, chronic diseases, smoking behaviour, sleeping hours, body mass index, physical activity in the workplace, medical visits during the past year, age, region of residence (autonomous communities), educational level, marital status and social class of the reference person. Finally, we include interactions between time period, gender and employment status. We specify random effects logistic regressions and use Bayesian methods for the inference.ResultsThe economic crisis did not significantly change the probability of taking antidepressant drugs (OR=0.56, 95% CI 0.18 to 2.56) nor sedatives (OR=1.21, 95% CI 0.26 to 5.49). In general, the probability of consuming antidepressants among men and women decreases, but there are differences depending on employment status. The probability of consuming sedatives also depends on the employment status.ConclusionsWhile the year of the financial crisis is not associated with the consumption of antidepressants nor sedatives, it has widened the gap in consumption differences between men and women. Although antidepressant use dropped, the difference in consumption levels between men and women grew significantly among the retired, and in the case of sedatives, risk of women taking sedatives increased in all groups except students.

Dataset Information

Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019).

Supplementary information

Publications

Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019).

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets