Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make various assumptions about ’normality’ and...

L-functionals summarize numerous statistical parameters and actuarial risk measures. Their sample estimators are linear combinations of order statistics L-statistics . There exists a class of heavy-tailed distributions for which the asymptotic normality of these estimators cannot be obtained by classical results. In this paper we propose, by means of extreme value theory, alternative estimators...

This paper seeks to evaluate the effects of expansionary monetary policy by the central bank on inflation, output and employment in a limited-participation model for different parameters value of inter-temporal elasticity of substitution and the Frisch (inverse of the labor supply) elasticity. To this end, a modified cash in advance model in line with Lucas (1990), Christiano (1991) and F...

The simulation of distributions of financial positions is an important issue for financial institutions. If risk measures are evaluated for a simulated distribution instead of the model-implied distribution, errors of risk measurements needs to be analyzed. For distribution-invariant risk measures which are continuous on compacts we employ the theory of large deviations to study the probability...

Following the rationale of the KMV model, this study builds an empirical model to price corporate credit risk for listed corporations in Hong Kong. To mitigate the bias from accounting data, the model totally relies on market-based information, such as equity value, stock market index, implied volatility of market index, riskfree rate and maturity. This fits in the reality of emerging credit ma...

Since the “invention” of free flight, an outstanding question is how much traffic demand can safely be accommodated by airborne self separation. In order to answer this question, within the iFly project an advanced airborne self separation concept of operations (ConOps) has been developed. This paper shows the results of an assessment of this ConOps on safety risk under very high en-route traff...

Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make various assumptions about ’normality’ and...

This paper argues for a view described as risk-limited indulgent permissivism. term may be new to the epistemology of disagreement literature, but general position denoted has many examples. The need an domains controversial views (morals, philosophy, politics, and religion), advantages endorsing permissivism across these domains. It takes double-edge approach in articulating interpersonal beli...