We propose a novel generalization to the Student-t Probabilistic Principal Component methodology which: (1) accounts for an asymmetric distribution of the observation data; (2) is a framework for grouped and generalized multiple-degree-of-freedom structures, which provides a more flexible...

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

This survey represents a comprehensive elicitation of perspectives on operational risk (OpRisk) modelling and practice, obtained from practitioners in a wide range of countries and sectors. The survey was developed and executed by two leading organizations in operational risk in the financial...

Real-time urban climate monitoring provides useful information that can be utilized to help monitor and adapt to extreme events, including urban heatwaves. Typical approaches to the monitoring of climate data include the acquisition of weather station monitoring and also remote sensing via...