Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While portfolio optimisation ascertains asset combinations most suited to investor requirements, numerous real-world problems impact its simplicity,...

Several studies on heritability in twins aim at understanding the different contribution of environmental and genetic factors to specific traits. Considering the National Merit Twin Study, our purpose is to correctly analyse the influence of the socioeconomic status on the relationship between...

The management of Operational Risks has always been difficult due to the high number of variables to work with and their complex multivariate distribution. A Copula is a statistic tool which has been recently used in finance and engineering to build flexible joint distributions in order to model...

In recent years, the growing availability of huge amounts of information, generated in every sector at high speed and in a wide variety of forms and formats, is unprecedented. The ability to harness big data is an opportunity to obtain more accurate analyses and to improve decision-making in...

In this paper we present a novel Bayesian approach for default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute its default probability. The firm pricing function...