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A general framework for constructing bank risk data sets

Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59

Persistent link: https://www.econbiz.de/10011980291

Operational risk measurement : a loss distribution approach with segmented dependence

Zhu, Xiaoqian; Wang, Yinghui; Li, Jianping - In: The journal of operational risk 14 (2019) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10012052383

Financial statements based bank risk aggregation

Li, Jianping; Wei, Lu; Lee, Cheng F.; Zhu, Xiaoqian; … - In: Review of quantitative finance and accounting 50 (2018) 3, pp. 673-694

Persistent link: https://www.econbiz.de/10011979270

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective...

Persistent link: https://www.econbiz.de/10012018726

Towards a large and liquid longevity market : a graphical population basis risk metric

Chan, Wai-Sum; Li, Johnny Siu-Hang; Zhou, Kenneth Q.; … - In: The Geneva papers on risk and insurance - issues and … 41 (2016) 1, pp. 118-127

Persistent link: https://www.econbiz.de/10011657562

Reinsurance decisions in life insurance : an empirical test of the risk-return criterion

Veprauskaite, Elena; Sherris, Michael - In: International review of financial analysis 35 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010529617

Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures

Wei, Lu; Li, Guowen; Zhu, Xiaoqian; Sun, Xiaolei; Li, … - In: Energy economics 80 (2019), pp. 452-460

Persistent link: https://www.econbiz.de/10012173659

Improving risk sharing and borrower incentives in mortgage design

Mei, Yuchen; Boyle, Phelim P.; Li, Johnny Siu-Hang - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 4, pp. 485-511

Persistent link: https://www.econbiz.de/10012180642

Bank risk aggregation with forward-looking textual risk disclosures

Wei, Lu; Li, Guowen; Li, Jianping; Zhu, Xiaoqian - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012203124

Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

Persistent link: https://www.econbiz.de/10012156150