We present a general methodology based on skew t copulas and Bayesian inference for modelling extreme multivariate dependent losses and the regulatory capital for operational risk. Current approaches fail to model both asymmetric dependence and accurate extreme upper tail dependence (e.g. 99.9%...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...

Preface -- Contents -- Part I Risk Modeling -- 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach -- 1.1 Introduction and Literature Review -- 1.2 Data Collection and Preparation -- 1.3 Methodology: Two-Step Cluster Analysis -- 1.4 Gold with Clusters -- 1.4.1 Training Set...