Piet De Jong

Macquarie University - Department of Applied Finance and Actuarial Studies

Professor

Sydney, New South Wales

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 18,104

SSRN RANKINGS

Top 18,104

in Total Papers Downloads

5,928

TOTAL CITATIONS

13

Scholarly Papers (12)

1.

The Health Impact of Mandatory Bicycle Helmet Laws

Risk Analysis, 2012
Number of pages: 10 Posted: 14 Jul 2009 Last Revised: 05 Dec 2022
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 3,274 (8,061)
Citation 1

Abstract:

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Bicycling, helmets, cost benefit analysis

2.

Risk Ratios, Odds Ratios, and the Rare Disease Assumption

Biometrics, Forthcoming
Number of pages: 22 Posted: 04 Apr 2013
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 547 (109,761)

Abstract:

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Odds, odds ratios, risk ratios, rare disease assumptions, number needed to treat, overdiagnosis, overtreatment.

3.

Modeling Dependence Between Loss Triangles

Number of pages: 17 Posted: 25 Mar 2009 Last Revised: 24 Mar 2011
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 497 (123,484)
Citation 4

Abstract:

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Copulas, Gaussian Copula, Specificity, Communality, Loss triangles, Forecasting, Diversification benefits

4.

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 363 (177,753)
Citation 1

Abstract:

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

5.

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 253 (260,302)

Abstract:

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6.

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 221 (297,095)

Abstract:

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

7.

Capital Adequacy of Financial Enterprises

Number of pages: 22 Posted: 14 Feb 2011
Piet De Jong and Dilip B. Madan
Macquarie University - Department of Applied Finance and Actuarial Studies and University of Maryland
Downloads 192 (339,069)
Citation 1

Abstract:

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Capital adequacy ratios, acceptable risks, Basel accords, capital requirements, reserve requirements

8.

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 165 (388,278)
Citation 6

Abstract:

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

9.

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 131 (469,512)

Abstract:

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

10.

Inferring and Predicting Global Temperature

Number of pages: 10 Posted: 14 May 2010
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 121 (499,665)

Abstract:

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Global warming, state space models, forecasting global temperatures

11.

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 88 (624,390)

Abstract:

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

12.

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 76 (680,534)

Abstract:

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