We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

This discussion paper led to a publication in 'Social Choice and Welfare', 2005, 24, 439-454.<P> Many economic and social situations can be represented by a digraph. Both axiomatic and iterativemethods to determine the strength or power of all the nodes in a digraph have been proposed inthe...</p>

See also the publication in 'Journal of Mathematical Economics', 2008, 44, 1114-1125. <P> In this paper we describe the extreme points of two closely related polytopes that are assigned to a digraph. The first polytope is the set of all sharing vectors (elements from the unit simplex) such that...</p>

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

In this paper, we consider deterministic (both fluid and discrete) polling systems with N queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...