We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity 'droughts.' We illustrate the explanatory power of a survival...

This work explores the common attributes of different types of cyber risk with a view to better understanding the key attributes that contribute to each type of cyber risk category. In doing so we explore event studies on a range of different market sectors, different countries, different...

Real-time urban climate monitoring provides useful information that can be utilized to help monitor and adapt to extreme events, including urban heatwaves. Typical approaches to the monitoring of climate data include the acquisition of weather station monitoring and also remote sensing via...

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...

Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon...

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...