This paper studies the properties of generalised empirical likelihood (GEL) methods for the estimation of and inference on partially identified parameters in models specified by unconditional moment inequality constraints. The central result is, as in moment equality condition models, a large...

In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...

Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks' operational loss data. The second loss data collection was launched in the summer of 2002: The 89 banks participating in the exercise provided the Group with more than 47,000 observations,...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

This paper studies the properties of generalised empirical likelihood (GEL) methods for the estimation of and inference on partially identified parameters in models specified by unconditional moment inequality constraints. The central result is, as in moment equality condition models, a large...

In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...

In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....

Network-Centric Meaning-Driven Human-Centric AI-Cyber Computing Beyond Data-Driven to Event-Driven Architectures for Quantum Uncertainty, 1995-2023:Building upon the contextual focus of current global worldwide discussions on GPT, ChatGPT, GenAI, Generative AI, Large Language Model - LLMs, we...

Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...