To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of...

We present a general methodology based on skew t copulas and Bayesian inference for modelling extreme multivariate dependent losses and the regulatory capital for operational risk. Current approaches fail to model both asymmetric dependence and accurate extreme upper tail dependence (e.g. 99.9%...

In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate accurately such data distributions. Shape and...

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....