An alternative generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a positive random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk. In this paper, these curves...

Statistical analyses on actual data depict operational risk as an extremely heavy-tailed phenomenon, able to generate losses so extreme as to suggest the use of infinite-mean models. But no loss can actually destroy more than the entire value of a bank or of a company, and this upper bound...

We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...

We propose Quantum Majorization as a way of comparing and ranking correlation matrices, with the aim of assessing portfolio risk in a unified framework. Quantum majorization is a partial order in the space of correlation matrices, which are evaluated through their spectra. We discuss the...

We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...