相关论文: Measuring sectoral diversification in an asymptoti…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
In the framework of Symbolic Data Analysis (SDA), distribution-variables are a particular case of multi-valued variables: each unit is represented by a set of distributions (e.g. histograms, density functions or quantile functions), one for…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the…
A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed. The proposed framework extends the realized exponential GARCH model to be semi-parametrically…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the…
Multifractal analysis of multiplicative random cascades is revisited within the framework of {\em mixed asymptotics}. In this new framework, statistics are estimated over a sample which size increases as the resolution scale (or the…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
In the analysis of cluster data, the regression coefficients are frequently assumed to be the same across all clusters. This hampers the ability to study the varying impacts of factors on each cluster. In this paper, a semiparametric model…
We propose a causal predictive framework for estimating risk under preventative interventions. The Unexposed Mediator Model maintains mediators that are also predictors at their unexposed level, removing double counting of intervention…
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio. Keeping all the dynamical…
We conduct the multifractal analysis of the level sets of the asymptotic behavior of almost-additive continuous potentials $(\phi_n)_{n=1}^\infty$ on a topologically mixing subshift of finite type $X$ endowed itself with a metric associated…
Modeling and forecasting covariance matrices of asset returns play a crucial role in finance. The availability of high frequency intraday data enables the modeling of the realized covariance matrix directly. However, most models in the…
By mid 2004, the Basel Committee on Banking Supervision (BCBS) is epected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…
One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently…
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk…
In this paper, we introduce a risk process, namely, the mixed fractional risk process (MFRP) in which the number of claims in the associated claim process are modelled using the mixed fractional Poisson process (MFPP). The covariance…
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for…