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Tests in a Case-Control Design Including Relatives

Biedermann, Stefanie; Nagel, Eva-Renate; Munk, Axel; … - 2006

We present a new approach to handle dependencies within the general framework of case-control designs, illustrating our approach by a particular application from the field of genetic epidemiology. The method is derived for parent-offspring trios, which will later be relaxed to more general...

Persistent link: https://www.econbiz.de/10010296719

Calculating trading book capital: Is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks' internal models for economic capital. Although it is known that joint market and...

Persistent link: https://www.econbiz.de/10011301347

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10010325273

The Foster-Hart measure of riskiness for general gambles

Hellmann, Tobias; Riedel, Frank - In: Theoretical Economics 10 (2015) 1, pp. 1-9

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

Persistent link: https://www.econbiz.de/10011599532

A review of individual and systemic risk measures in terms of applicability for banking regulations

Sum, Katarzyna - In: Contemporary Economics 10 (2016) 1, pp. 71-82

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...

Persistent link: https://www.econbiz.de/10011659876

Shadow banking: Financial intermediation beyond banks

Jokivuolle, Esa (contributor) - 2018

Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.

Persistent link: https://www.econbiz.de/10011985212

Interval estimation of value-at-risk based on nonparametric models

Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics 6 (2018) 4, pp. 1-30

financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of … the sources of uncertainty stems from the dependence of the VaR estimation on the choice of the computation method. As we … imprecision of the obtained interval-valued estimate is likely to be representative of the uncertainty in VaR estimate. …

Persistent link: https://www.econbiz.de/10011995231

A note on parameter estimation in the composite Weibull-Pareto distribution

Calderín-Ojeda, Enrique - In: Risks 6 (2018) 1, pp. 1-8

Composite models have received much attention in the recent actuarial literature to describe heavy-tailed insurance loss data. One of the models that presents a good performance to describe this kind of data is the composite Weibull-Pareto (CWL) distribution. On this note, this distribution is...

Persistent link: https://www.econbiz.de/10011996570

The cascade Bayesian approach: Prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand K.; Renaudin, Alexis - In: Risks 6 (2018) 2, pp. 1-17

According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes 'business environment...

Persistent link: https://www.econbiz.de/10011996605

On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles

Chen, James Ming - In: Risks 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011996619

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