相关论文: Semi-nonparametric Estimation of Operational Risk …

We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of…

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance…

Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulation scheme, the multivariate extreme events spectral…

On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for…

Event-related potentials (ERPs) extracted from electroencephalography (EEG) data in response to stimuli are widely used in psychological and neuroscience experiments. A major goal is to link ERP characteristic components to subject-level…

This paper presents a novel approach to stochastic volatility (SV) modeling by utilizing nonparametric techniques that enhance our ability to capture the volatility of financial time series data, with a particular emphasis on the…

Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…

The Basel Committee on Banking Supervision proposed replacing all approaches for operational risk capital, including the Advanced Measurement Approach (AMA), with a simplified formula called the Standardized Measurement Approach (SMA). This…

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products…

Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach…

We develop a Bayesian nonparametric (BNP) approach to evaluate the causal effect of treatment in a randomized trial where a nonterminal event may be censored by a terminal event, but not vice versa (i.e., semi-competing risks). Based on the…

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a…

This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

Recurrent event data are common in clinical studies when participants are followed longitudinally, and are often subject to a terminal event. With the increasing popularity of large pragmatic trials with a heterogeneous source population,…

Modern high-frequency trading (HFT) environments are characterized by sudden price spikes that present both risk and opportunity, but conventional financial models often fail to capture the required fine temporal structure. Spiking Neural…

We present a novel approach to ecological risk assessment by recasting the Species Sensitivity Distribution (SSD) method within a Bayesian nonparametric (BNP) framework. Widely mandated by environmental regulatory bodies globally, SSD has…

Operational risk capital estimation under Basel II/III requires quantifying aggregate losses at extreme confidence levels of 99.9% and beyond, yet the standard Loss Distribution Approach (LDA) assumes independence between loss frequency and…

The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach…

According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile can be considered a tail event. As…