This survey reviews the large and growing literature on the use of pair-copula constructions
(PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex …

Following the three-pillar structure of the Basel II/III framework, the article categorises and
surveys 279 academic papers on operational risk in financial institutions, covering the …

In insurance and related industries including healthcare, it is common to have several
outcome measures that the analyst wishes to understand using explanatory variables. For …

A general methodology for modeling loss data depending on covariates is developed. The
parameters of the frequency and severity distributions of the losses may depend on …

Many experts claim that cyber risks are correlated, but there is not much supporting
empirical evidence. We consider 3327 data breach events from 2005 to 2016 and identify a …

This paper highlights the usefulness of the minimum information and parametric pair-copula
construction (PCC) to model the joint distribution of flood event properties. Both of these …

A main concern of risk management in financial institutions is measurement of operational
risk and its value at risk as a requirement of Basel II accord. Besides risk quantification …

Using weekly data from January 3, 2003 to March 27, 2015, we examine the responses of
US stock returns (S&P 500, DJIA, and NASDAQ) to monetary policy, controlling for WTI oil …

Action research (AR) is significant for its promise to bridge the chasm between rigor and
relevance by seeking to solve real-world problems while building scientific knowledge. In …

The financial health of an oil refinery greatly depends on its refining margin or the difference
between the prices of its refined products (typically, gasoline and heating oil) and the cost of …