A one-stop guide for the theories, applications, andstatistical methodologies essential to operational risk Providing a complete overview of operational risk modeling andrelevant insurance analytics, Fundamental Aspects of OperationalRisk and Insurance Analytics: A Handbook of Operational...

"Covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. Includes advanced topics on risk modelling in high consequence low frequency loss processes, key aspects of extreme value theory, and...

A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. Whilst, fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment...

This paper introduces a new Empirical Mode Decomposition (EMD) Python package called AdvEMDpy that is demonstrably more flexible and which generalises in numerous important ways the existing EMD packages available in Python, R, and MATLAB. The extensions introduced by this AdvEMDpy package both...

Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and...

The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange...

Extensive literature on the properties of the Limit Order Book (LOB) has emerged with the access to ultra-high frequency data from electronic exchanges. The study of fundamental statistical attributes in such data plays an increasingly important role in aspects of financial modelling. This...

We revisit the gamma-gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for variance parameters, because this empirical Bayesian framework allows us for closed form...