Peter L. Hammer

REVERSE-ENGINEERING COUNTRY RISK RATINGS: COMBINATORIAL NON-RECURSIVE MODEL

  • Peter L. Hammer
  • Alexander Kogan
  • Miguel A. Lejeune
    • Categories Combinatorial Optimization, Data-Mining, Finance and Economics Tags , , , ,

    The central objective of this paper is to develop a transparent, consistent, self-contained, and stable country risk rating model, closely approximating the country risk ratings provided by Standard and Poor’s (S&P). The models should be non-recursive, i.e., they should not rely on the previous years’ S&P ratings. The selected set of variables includes not only … Read more

    The Maximum Box Problem and its Application to Data Analysis

  • Jonathan Eckstein
  • Peter L. Hammer
  • Ying Liu
  • Mikhail S. Nediak
  • Bruno Simeone
    • Categories Combinatorial Optimization, Data-Mining Tags , ,

    Given two finite sets of points $X^+$ and $X^-$ in $\R^n$, the maximum box problem consists in finding an interval (“box”) $B=\{x : l \leq x \leq u\}$ such that $B\cap X^-=\emptyset$, and the cardinality of $B\cap X^+$ is maximized. A simple generalization can be obtained by instead maximizing a weighted sum of the elements … Read more