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Working paper

31 May 2016

This paper develops, analyses and implements an early warning tool for systemic risk in banks and financial entities. The tool is based on a refined approach to stress testing. Calculations performed on Australian bank data are shown to predict past distres. Risk is measured as...

Working paper

29 Feb 2016

SRISK methodology recently proposed in the literature is refined and extended. The refinement is to define systemic risk using a formalised stress testing framework including a stress function. Baseline risk and the stress risk are in terms of the ordinary and stressed expectation. Stressed expectation...

Report

17 Jul 2006

Heather Booth, Rob J. Hyndman, Leonie Tickle and Piet de Jong compare the short- to medium- term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting.

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