38 citations · 118 across the 15 of their papers we have counts for
20 papers
Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. I…
Cyber Risk Taxonomies: Statistical Analysis of Cybersecurity Risk Classifications
Matteo Malavasi, Gareth W. Peters, Stefan Treuck +3
Cyber risk classifications are widely used in the modeling of cyber event distributions, yet their effectiveness in out of sample forecasting performance remains underexplored. In…
Optimal dynamic climate adaptation pathways: a case study of New York City
Chi Truong, Matteo Malavasi, Han Li +2
Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can…
The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement
Johan G. Andreasson, Pavel V. Shevchenko
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk,…
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
Gareth W. Peters, Pavel V. Shevchenko, Bertrand Hassani +1
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple form…
Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
Johan G. Andreasson, Pavel V. Shevchenko, Alex Novikov
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumptio…