Microsimulation in decision support the latest news about our results
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Microsimulation in decision support The latest news about our results. József Csicsman [email protected] Contents. Introduction Microsimulation Research Group in BUTE Formal presentation at IFIP WS-s Microsimulation theory Microsimulation in practice Research data sets from 2004

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Microsimulation in decision support the latest news about our results

MicrosimulationindecisionsupportThe latestnewsaboutourresults

József Csicsman

[email protected]

London, 2009.


Contents

Contents

  • Introduction

    • Microsimulation Research Group in BUTE

    • Formal presentation at IFIP WS-s

  • Microsimulation theory

  • Microsimulation in practice

    • Research data sets from 2004

    • Problems of modelling demographic changes

    • Application in Student Loan forecast

    • Applications in bank sector and telcos


Introduction

Introduction


Calculus and bute cooperation

Calculus and BUTE cooperation

  • Microsimulation research group at the Information and Knowledge Management Department of Budapest University of Technology and Economics was founded in 2001.

  • Cooperation with the Hungarian Central Statistical Office (KSH)

  • International cooperation (EU)

  • Custom economic applications

  • Students graduates with practical SAS knowledge(more than 50 former students work in the field of SAS application in financial sector)


Microsimulation research group

Microsimulation Research Group

Models simulate large representative populations of these low-level entities(using probabilities, laws, rules or empirical facts)

2001-2003: Common development group for the technical background of Microsimulation

Real applications from 2003


Formal presentation in ifip ws s

Formal Presentation in IFIP WS-s

  • Microsimulation Service System, Statistical Matchingpresented by Péter Baranyai in Budapest

  • Microsimulation Servise System based on SAS and Application of Microsimulation in Decision Supportpresented by Balázs Látó in Cork


Microsimulation

Microsimulation


Microsimulation1

Microsimulation

Microsimulation has been used for decades in economics and other areas.

The microsimulation procedure examines social and economic changes by assessing the effect of each provision with small units and the description of the overall effects is derived from these assessments.

It has essential role in decision support.


Workflow of microsimulation

Workflow of Microsimulation


Microsimulation service system

Microsimulation Service System


Statistical matching

StatisticalMatching

  • A new function of the Microsimulation Service System

  • How to merge the records of two (or more) datasets having no key variable

    • Based on statistical analysis, and distribution of other variables

  • Example:

    • Simulation of marriages

    • Replacement of missing or corrupt data from other surveys


Application possibilities

Applicationpossibilities

Demographic, social and economic impacts of various measures

Improving the quality of statistical surveys

Aging of datasets (bringing data of former surveys up-to-date)

More accurate forecast of probable events

International comparisons (competitiveness, tax and subsidy systems…)


Research data sets from 2004

Research data sets from 2004


Research data sets from 20041

Research datasetsfrom 2004

  • Microsensus at HCSO, 2004 and recording income data

    • correction of data with Microsimulation Service System of Calculus

  • Household statistic survey at HCSO, 2004

  • Creation of research data set with statistical matching

    • relatively good data about consumption and income


Problems of modelling demographic changes

Problems of modelling demographic changes


Problems of modelling demographic changes1

Problems of modelling demographicchanges

  • We cannot use weighted data for demographical simulation (because of small sample size)

  • Multiplication to the complete population

  • Marriage and devorce simulation models

    • the most complicated method


Problems of modelling demographic changes2

Problems of modelling demographicchanges

  • Birth and death simulation models

  • Migration in Hungary is too big (the hungarian population hasn’t decreased, however, birth rate is too small and death rate is higher than other European countries)


Population vital events in hungary

Population, vital events in Hungary


Application in student loan forecast

ApplicationinStudentLoanforecast


Student loan forecast

StudentLoanforecast

  • Hardly predictable number of persons who require Student Loan

  • Simulation of demographical changes till 2007

  • Merging real student loan data with simulated population

  • Simulation till 2010


Student loan forecast1

StudentLoanforecast

  • Estimation of paid and unpaid loans

    • problems of high level intrest rate in Hungary

    • pay-backs are too frequent, thus traditional bank estimations aren’t usable


Applications in bank sector

ApplicationsinBank Sector


Applications in bank sector1

Applicationsin Bank sector

  • As we discussed before:Conducting stress test analysis and creating reports

  • Replacement of missing data

    • merging simulated research data sets with real client data

  • Predicting success of new business products

  • Support for credit scoring


Applications in bank sector2

Applicationsin Bank sector

  • Income is not an efficient enough indicator in Hungarian bank sector

    • Income isn’t considered as determinant information about the financial background of individuals

    • Consumption is closely connected with financial background, thus it provides more relevant information


Applications in bank sector3

Applicationsin Bank sector

  • Take changes of consumption, income, etc. into consideraion

    • data used for modelling had been registered in different terms

    • problem with compatibility

    • applying microsimulation in order to age data


Stress test

Stress test

  • Examines the probability and possible effects of unforseen events

  • Stress test for Hungarian banks (2006)

    • BASEL2

    • mandatory for banks

    • concentrating on the extreme values of unexpected events

      • increased inflation

      • unemployment and exchange rate

      • the drastic effect of these matters on the credit system


Stress test1

Stress test

Done on the research dataset

The test examines the possible outcomes and effects of an unforeseen event

Conditions:

  • Exchange reate of CHF rises from 160 HUF to 200 HUF

  • Those who have an amortization instalment greater than their income’s 30%:

    Failure rate in the income decimals

    • 1-3 100%

    • 4-6 50%

    • 7-10 25%

  • Another 3% cannot make repayments because of the rise in unemployment


Applications in telcos

ApplicationsinTelcos

  • Replace missing demographic data by using statistical matching

  • Correction of corrupt marketing survey data

  • Forecast of marketing strategies aimed at avoiding attrition

  • Fraud protection


Thank you for your attention csicsman@itm bme hu

Thank you for your [email protected]


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