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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184144
Description: Recently, the Basel Committee for Banking Supervision proposed to replace all approaches, including the advanced measurement approach (AMA), to operational risk capital with a simple formula referred ... More
Reviewed: Reviewed
Date: 2015
Subject Keyword: Risk management | Operational risk
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/1203611
Description: This book covers key mathematical and statistical aspects of the quantitative modeling of heavy tailed loss processes in operational risk (OpRisk) and insurance settings. OpRisk has been through signi ... More
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184389
Description: A variable annuity contract with guaranteed minimum withdrawal benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining accoun ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137549
Description: The motor vehicle retailing and services industry is one of the largest service industries in the developed world. A persistent issue concerning consumers, motor vehicle insurers, and smash repairers ... More
Reviewed: Reviewed
Date: 2015
Subject Keyword: Operational risk | Risk management
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/1249294
Description: Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a sy ... More
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1189991
Description: Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount have found many applications in finance. Closed-form solutions for the price ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/1249261
Description: 22 page(s)
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1149052
Description: Target accumulation redemption notes (TARNs) have become very popular products among Asian foreign exchange investors due to their flexibility to be structured to suit any foreign exchange outlook. TA ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137485
Description: 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 cap ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137486
Description: In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder b ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190333
Description: There is a vast literature on numerical valuation of exotic options using Monte Carlo (MC), binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1221974
Description: 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, deregulatio ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1138221
Description: It is a well-known fact that recovery rates tend to decrease when the number of defaults increases during economic downturns. We demonstrate how the loss given default model with the default and recov ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1203607
Description: We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take eect. In ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137714
Description: One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a priori grouping is ... More
Reviewed: Reviewed