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...

SRISK methodology recently proposed in the literature is refined and extended. The refinement is to define systemic risk using a formalised stress testing framework including a stress function. Baseline risk and the stress risk are in terms of the ordinary and stressed expectation. Stressed...

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...