The problem of robust estimation and multivariate outlier detection of the term structure of default intensity is considered. Both the multivariate Vasicek and CIR models, embedding the Kalman filter algorithm in a forward search context, are used to estimate default intensity. The focus is not...

Frontmatter -- Advance Praise for Reverse Stress Testing in Banking -- Acknowledgements -- Foreword -- Contents -- Part I: Fundamentals of Reverse Stress Testing -- 1 Reverse Stress Testing: A Versatile Thinking Tool -- 2 Reverse Stress Testing in Banks -- 3 Reverse Stress Testing: An Overview...

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...

In the last few years, copulas have been widely applied in many field of studies. Concentrating our attention on financial applications, we pursue the goal to detect multivariate atypical observations by extending to elliptical copulas the forward search originally introduced in linear and...

In this paper we tackle the problem of outlier detection in data envelopment analysis (DEA). We propose a procedure where we merge the super-efficiency DEA and the forward search. Since DEA provides efficiency scores which are not parameters to fit the model to the data, we introduce a distance,...