… of uncertainty in parameter estimates on the annual loss distribution can be significant for
low-frequency/high-severity operational risks due to limited historical data (see Shevchenko (…

… Dr Shevchenko joined CSIRO in 1999 to work in the area of financial risk. He leads research
… Dr Shevchenko has published extensively in academic journals, consults for major financial …

A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …

To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank's internal model must include the use of internal data, relevant external data, …

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, …

To quantify an operational risk capital charge under Basel II, many banks adopt a Loss
Distribution Approach. Under this approach, quantification of the frequency and severity …

Various stochastic models have been proposed to estimate mortality rates. In this paper we
illustrate how machine learning techniques allow us to analyze the quality of such mortality …

It is shown that vertical vibration of dust grains in a sheath region can lead to a specific low
frequency mode of a quasi-two-dimensional dust-plasma crystal. Linear dispersion …

… Shevchenko, PhD, is senior principal Research scientist in the division of computational
informatics at the commonwealth scientific and industrial Research organisation, Australia, as …

In this paper, we develop an expected utility model for retirement behaviour in the
decumulation phase of Australian retirees with sequential family status subject to consumption, …