This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...

This paper presents a methodology to estimate equilibrium real exchange rates (ERER) for Sub-Saharan African (SSA) countries using both single-country and panel estimation techniques. The limited data set hinders single-country estimation for most countries in the sample, but panel estimates are...

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business...

The main theme of this paper is to study statistical inference concerning empirical Lorenz curves and its generalisations. These curves are useful devices for examining welfare and inequality. Asymptotical sampling properties of the Lorenz curve are discussed. An improvement to a standard...

This paper discusses asymptotic and bootstrap inference methods for a set of inequality and progressivity indices. The application of non-degenerate U-statistics theory is described, particularly through the derivation of the Suits-progressivity index distribution. We have also provided formulae...

A common experimental strategy utilizing microarrays is to develop a signature of genes responding to some treatment in a model system, and then ask whether the same genes respond in an analogous way in a more natural and uncontrolled environment. In statistical terms, the question posed is...

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

This book presents the theory of probability and mathematical statistics at a level suitable for researchers at the frontiers of applied disciplines. Examples and exercises make essential concepts in measure theory and analysis accessible to those with preparation limited to vector calculus....