JSTOR Daily

Bias reduction for nonparametric correlation coefficients under the bivariate normal copula assumption with known detection limits

The authors derive the asymptotic mean and bias of Kendall's tau and Spearman's rho in the presence of left censoring in the bivariate Gaussian copula model. They show that tie corrections for ...
Risk

The performance of value-at-risk models during the crisis

Using stock data that covers the period from April 6, 2001 to June 17, 2009, including data for the recent crisis period, we perform value-at-risk (VaR) risk model validation by backtesting the ...
JSTOR Daily

Modelling the type and timing of consecutive events: application to predicting preterm birth in repeated pregnancies

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 64, No. 5 (NOVEMBER 2015), pp. 711-730 (20 pages) Predicting the occurrence and timing of adverse pregnancy events such as ...
Risk

A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios

We propose a new importance-sampling technique for value-at-risk estimation and expected shortfall allocation for a credit portfolio. A key element of any model of portfolio credit risk is a mechanism ...