Piet de Jong

Working paper

An early warning tool for measuring the build up of systemic risks in banks and financial systems

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

Monitoring risk in the financial system using time series methods

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...

Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

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.