London, 2009. Microsimulation in decision support The latest news about our results József Csicsman [email protected]
Jan 11, 2016
London, 2009.
Microsimulationin decision support
The latest news about our results
Microsimulationin decision support
The latest news about our results
József [email protected]
ContentsContents
IntroductionMicrosimulation Research Group in BUTE
Formal presentation at IFIP WS-s
Microsimulation theory
Microsimulation in practiceResearch data sets from 2004
Problems of modelling demographic changes
Application in Student Loan forecast
Applications in bank sector and telcos
IntroductionIntroduction
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)
Calculus and BUTE cooperationCalculus and BUTE cooperation
Microsimulation Research GroupMicrosimulation 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-sFormal 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
MicrosimulationMicrosimulation
MicrosimulationMicrosimulation
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 MicrosimulationWorkflow of Microsimulation
Microsimulation Service SystemMicrosimulation Service System
Statistical MatchingStatistical Matching
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 possibilitiesApplication possibilities
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 2004Research data sets from 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 changesProblems of modelling demographic changes
Problems of modelling demographic changes Problems of modelling demographic changes
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 changes Problems of modelling demographic changes
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
Denomination 2004 2005 2006 2007 2008 2009
Population, 1 January 10 116 742 10 097 549 10 076 581 10 066 158 10 045 401 10 031 000
male 4 804 113 4 793 115 4 784 579 4 779 078 4 769 562 4 761 000
female 5 312 629 5 304 434 5 292 002 5 287 080 5 275 839 5 270 000
Number of females per thousand males 1 106 1 107 1 106 1 106 1 106 1 107
Density per km² 108.7 108.5 108.3 108.2 108.0 107.8
Marriges number 43 791 44 234 44 528 40 842 40 100
Divorces number 24 638 24 804 24 869 25 160 25 300
Live births number 95 137 97 496 99 871 97 613 99 200
Death number 132 492 135 732 131 603 132 938 130 000
Natural increase, decrease (–)
number -37 355 -38 236 -31 732 -35 325 -30 800
Application in Student Loan forecast
Application in Student Loan forecast
Student Loan forecastStudent Loan forecast
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 forecastStudent Loan forecast
Estimation of paid and unpaid loansproblems of high level intrest rate in Hungary
pay-backs are too frequent, thus traditional bank estimations aren’t usable
Applications in Bank Sector
Applications in Bank Sector
Applications in Bank sectorApplications in Bank sector
As we discussed before:Conducting stress test analysis and creating reportsReplacement of missing data
merging simulated research data sets with real client data
Predicting success of new business productsSupport for credit scoring
Applications in Bank sectorApplications in 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 sectorApplications in Bank sector
Take changes of consumption, income, etc. into consideraion
data used for modelling had been registered in different termsproblem with compatibilityapplying microsimulation in order to age data
Stress testStress test
Examines the probability and possible effects of unforseen eventsStress test for Hungarian banks (2006)
BASEL2mandatory for banksconcentrating on the extreme values of unexpected events
increased inflationunemployment and exchange ratethe drastic effect of these matters on the credit system
Stress testStress test
Done on the research dataset The test examines the possible outcomes and
effects of an unforeseen eventConditions:
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 TelcosApplications in Telcos
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!
Thank you for your attention!