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Mortality risk varies geographically, especially in the Asia-Pacific (APAC) region, where economic development is quite … diverse. We present a newly-collected dataset on aggregate population mortality from eleven countries in APAC, which we rank … based on their economic development. Using lead-lag analysis, we identify short-term predictability in mortality risk across …
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applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling …
Persistent link: https://www.econbiz.de/10013001147
In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...
Persistent link: https://www.econbiz.de/10011419593
Adverse weather related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Levy subordinated...
Persistent link: https://www.econbiz.de/10012903939
Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called...
Persistent link: https://www.econbiz.de/10010238359
This paper describes the modelling of spread risk, in case of missing or illiquid market data, by using a subset of good quality liquid bond/credit default swap (CDS) spread time series. The proposed method links copula simulation to the actual historical spread dynamics. This is important when...
Persistent link: https://www.econbiz.de/10013219900
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk...
Persistent link: https://www.econbiz.de/10012542685