The 2015 workshop on “Recent evolutions of oil and commodity prices”, organized by FEEM, focused on the sharp decline in the oil price in 2014. High crude oil production and slower demand growth explain a large fraction of the current low level of prices, but a complex set of factors is...

We develop a Bayesian framework for estimating high quantiles of the relative return loss distribution of equity portfolios. This framework allows for the incorporation of both quantitative data via a parametric model for the loss distribution as well as qualitative information, specified...