We note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the practitioner may be surprised to find that in some applications estimation of the Poisson regression is...

We extend the simulation results given in Santos-Silva and Tenreyro (2006, ‘The Log of Gravity’, The Review of Economics and Statistics, 88, pp.641-658) by considering data generated as a finite mixture of gamma variates. Data generated in this way can naturally have a large proportion of...

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk due, e.g., to specification and estimation...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...

Classical dimensional analysis in its original form starts by expressing the units for derived quantities, such as force, in terms of power products of basic units etc. This suggests the use of toric ideal theory from algebraic geometry. Within this the Graver basis provides a unique primitive...

‘Safe harbour’ is shorthand for a bundle of privileges in insolvency which are typically afforded to financial institutions. They are remotely comparable to security interests as they provide a financial institution with a considerably better position as compared to other creditors should...

Examining the conceptual relationship between personal experience, affect, and risk perception is crucial in improving our understanding of how emotional and cognitive process mechanisms shape public perceptions of climate change. This study is the first to investigate the interrelated nature of...

Complex regulatory decisions about risk rely on the brokering of evidence between providers and recipients, and involve personality and power relationships that influence the confidence that recipients may place in the sufficiency of evidence and, therefore, the decision outcome. We explore...

Economic damage from natural hazards can sometimes be prevented and always mitigated. However, private individuals tend to underinvest in such measures due to problems of collective action, information asymmetry and myopic behavior. Governments, which can in principle correct these market...

Following recent studies by the Bank of England that the low financial market confidence and low expectations about private sector profits over the next three years has lead to unusually low price-to-book ratios, we incorporate a stock market mechanism in a general equilibrium framework. More...