This paper analyses and develops insights to systematic risk and diversification when random, imperfectly dependent, losses are aggregated. Systematic risk and diversification are shown to vary across layers of component losses according to local dependence and volatility structures. Systematic...

This article discusses the determination of risk capital based on quot;aversionquot; functions. Aversion functions weigh different outcomes according to perceived severity or likelihood. Many risk measures are usefully viewed in terms of aversion functions including those arising from distortion...

This article discusses the determination of risk capital based on "aversion" functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion...

This article explores alternative state space representations for ARMA models. We advocate representations that have minimal state order and appealing Kalman filter steady state properties. We derive expressions for smoother output and describe concrete connections to classical infinite sample...