This paper quantifies the credit risk loss distribution of the Spanish financial system by introducing a general Monte Carlo importance sampling (IS) approach. We start obtaining all the required information for the standard credit risk model. Then we quantify the loss distribution under the...

Abstract Governments at all levels are tasked with administering public programs that serve large numbers of people. The use of integrated data systems (IDS), which can be used to link administrative records from multiple public agencies into one database, offer a unique mechanism for providing...

We study European options on the ratio of the stock price to its average and vice versa. Some of these options have been traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For...

This article investigates the portfolio selection problem of an investor with three-moment preferences taking positions in commodity futures. To model the asset returns, we propose a conditional asymmetric <italic>t</italic> copula with skewed and fat-tailed marginal distributions, such that we can capture the...

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using...