This article applies a new statistical moment, Trimmed L-comoment, in modelling Expected Shortfall (<italic>ES</italic>) and exploits an empirical study on China's stock markets. In comparison with existing models, out-of-sample forecasts and backtests indicate superior accuracy and precision for the models...

This paper focuses on how the household saving rate should be measured. The current method used in China to measure the saving rate is compared with that used in the U.S. Significant differences in concept and scope are discovered. Using these differences as a basis, we make relevant adjustments...

Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

This paper develops an early warning system for banking crises in the G20 countries, with the inclusion of capital account openness indicators. Results suggest that the capital account openness demonstrates a significant predictive power on systemic banking crises, and the impact is related with...

This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems....

An integrated simulation-assessment approach (ISAA) was developed in this study to systematically tackle multiple uncertainties associated with hydrocarbon contaminant transport in subsurface and assessment of carcinogenic health risk. The fuzzy vertex analysis technique and the Latin hypercube...

An interval-parameter fuzzy robust nonlinear programming (IFRNP) approach was developed for stream water quality management under uncertainty. The interval and fuzzy robust programming methods were incorporated within a general framework to address uncertainties associated with the nonlinear...

This article empirically tests the 'too non-traditional to fail' argument by exploring the determinants of systemic risk for the BRICs banks. The argument is found not applicable for the BRICs banks, since the systemic risk is merely determined by balance-sheet characteristics, rather than...