This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a random variable following a generalized error...

The Benini distribution is a lognormal-like distribution generalizing the Pareto distribution. Like the Pareto and the lognormal distributions it was originally proposed for modeling economic size distributions, notably the size distribution of personal income. This paper explores a...

Over the past years a large number of regional growth theories have been developed and a number of models have been built in an effort to describe, explain and eventually predict regional development trends. However, until a few years ago, the large majority of those models assumed the existence...

Regional development has been in the centre of interest among both academics but also decision makers in the central and local governments of many European countries. Identifying the key problems that regions face and considering how these findings could be effectively used as a basis for...

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...

With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of...

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

A sequence of real numbers (xn) is Benford if the significands, i.e. the fractionparts in the floating-point representation of (xn), are distributed logarithmically.Similarly, a discrete-time irreducible and aperiodic finite-state Markov chain withprobability transition matrix P and limiting...

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution...

This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...