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Quantile regression, based on check loss, is a widely used inferential paradigm in Econometrics and Statistics. The conditional quantiles provide a robust alternative to classical conditional means, and also allow uncertainty quantification…
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves. VaR quantifies potential loss in value over a specified…
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…
Regression analysis is commonly conducted in survey sampling. However, existing methods fail when the relationships vary across different areas or domains. In this paper, we propose a unified framework to study the group-wise covariate…
The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…
Testing for pairwise independence for the case where the number of variables may be of the same size or even larger than the sample size has received increasing attention in the recent years. We contribute to this branch of the literature…
We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular interest for the construction of Internal Models and…
We consider the problem of modeling the dependence among many time series. We build high dimensional time-varying copula models by combining pair-copula constructions (PCC) with stochastic autoregressive copula (SCAR) models to capture…
Time-varying dependence is often modeled with dynamic correlations or Gaussian graphical models, but multivariate systems can change through tail behavior, asymmetry, or conditional structure even when correlations are nearly stable. We…
In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging positions. Our optimisation model allows a "currency overlay",…
Due to their type of mathematical construction, the use of standard financial ratios in studies analysing the financial health of a group of firms leads to a series of statistical problems that can invalidate the results obtained. These…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…
Regression discontinuity (RD) is a widely used quasi-experimental design for causal inference. In the standard RD, the assignment to treatment is determined by a continuous pretreatment variable (i.e., running variable) falling above or…
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both…
Diagnostic test accuracy studies typically report the number of true positives, false positives, true negatives and false negatives. There usually exists a negative association between the number of true positives and true negatives,…
We propose a bivariate quantile regression method for the bivariate varying coefficient model through a directional approach. The varying coefficients are approximated by the B-spline basis and an $L_{2}$ type penalty is imposed to achieve…
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope, and curvature dynamics of the yield curves. In this study,…
When changes are performed on an automated production system (aPS), new faults can be accidentally introduced in the system, which are called regressions. A common method for finding these faults is regression testing. In most cases, this…
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete…
In using multiple regression methods for prediction, one often considers the linear combination of explanatory variables as an index. Seeking a single such index when here are multiple responses is rather more complicated. One classical…