We propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. We model both asset correlations and interlinkages from interbank borrowing so that our analysis gauges two major sources of systemic risk: correlated exposures and mutual credit...

We use a comprehensive longitudinal dataset on criminal acts over 6 years in a European country to study specialization in criminal careers. We present a method to cluster crime categories by their relative co-occurrence within criminal careers, deriving a natural, data-based taxonomy of...

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifi es the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....