In this paper, we study the kernel estimation of the copula density on unit square [0,1]X[0,1], and demonstrate the implementation of this methodology to equity and bond markets. There are two crucial problems associated with this estimator. First, the kernel estimator is biased at the...

This paper proposes a nonparametric quantile regression (NP-QR) and a partially linear additive QR (PLA-QR) for modelling recovery rates (RR). Using Moody's Recovery Database, we uncover two novelties of the NP-QR model. First, the local constant estimation of NP-QR model captures the key...

There is a scientific consensus that global climate change is already impacting on yields of major staple food crops such as rice, wheat, and soybeans, and this situation will progressively worsen posing severe dangers to global food security. The impact on crop yields of climate change may be...

This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Following the recent global financial crisis, many banks and other businesses in the industrialized countries incurred notably heavy losses. As a consequence, reliable estimation of operational risk (OR) is becoming increasingly important to all internationally active banks and other financial...