The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

One of the main problems in operational risk management is the lack of loss data, which affects the parameter estimates of the marginal distributions of the losses. The principal reason is that financial institutions only started to collect operational loss data a few years ago, due to the...

The major implementational problem for reversible jump Markov chain Monte Carlo methods is that there is commonly no natural way to choose jump proposals since there is no Euclidean structure in the parameter space to guide our choice. We consider mechanisms for guiding the choice of proposal....

According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways.

The purpose of this research is to introduce a new approach to the decomposition of the Gini measure in terms of concordance and discordance shares: a new kind of dependence, the Gini rank dependence (GRD), and its formal definition are provided.