Weihao Choo

Macquarie University - Department of Applied Finance and Actuarial Studies

North Ryde

Sydney, New South Wales 2109

Australia

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 44,066

SSRN RANKINGS

Top 44,066

in Total Papers Downloads

990

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Determining and Allocating Diversification Benefits for a Portfolio of Risks

Number of pages: 8 Posted: 13 May 2009
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 296 (106,321)

Abstract:

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Diversification, Allocated risk margins Stand--alone risk margins, Capital allocation, Euler allocation, Percentile risk aversion

2.

An Early Warning Tool for Measuring the Build-Up of Systemic Risks in Banks and Financial Systems

CIFR Paper No. 109/2016
Number of pages: 26 Posted: 17 May 2016
Piet De Jong, Weihao Choo and Geoffrey Loudon
Macquarie University - Department of Applied Finance and Actuarial Studies, Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 208 (151,895)

Abstract:

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3.

Monitoring Risk in the Financial System Using Time Series Methods

CIFR Paper No. 091/2016
Number of pages: 29 Posted: 17 Feb 2016
Piet De Jong, Geoffrey Loudon and Weihao Choo
Macquarie University - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 165 (187,088)

Abstract:

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Capital shortfall, baseline risk, stress testing, stressed expectation, stress diversification

4.

Loss Reserving Using Loss Aversion Functions

Number of pages: 17 Posted: 26 Feb 2009 Last Revised: 03 Aug 2009
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 129 (228,890)
Citation 4

Abstract:

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Distortion operators, Loss aversion, Risk measure, Percentile rank aversion, Standard deviation principle, Premium loading, Expected Maximum Loss

5.

Insights to Systematic Risk and Diversification Across a Joint Probability Distribution

Number of pages: 17 Posted: 05 Oct 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 91 (292,111)

Abstract:

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Distortion risk, spectral risk, Euler allocation, systematic risk, diversification, layer, Value-at-Risk

6.

Layer Dependence as a Measure of Local Dependence

Number of pages: 25 Posted: 24 Jun 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 52 (395,372)

Abstract:

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Local dependence, rank dependence, Spearman's correlation, layers, conditional tail expectation, concordance

7.

Mean and Risk Densities and Their Application to Risk Management

Number of pages: 23 Posted: 23 May 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 49 (405,724)

Abstract:

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Layers, density, distortion, value-at-risk, reinsurance, tranches