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

  • Macquarie University - Department of Applied Finance and Actuarial Studies

  • Macquarie University, Macquarie Business School

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 15,799

SSRN RANKINGS

Top 15,799

in Total Papers Downloads

5,514

SSRN CITATIONS

12

CROSSREF CITATIONS

2

Scholarly Papers (12)

Actions:
Email selected abstracts
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 3,136 (6,925)
Citation 1

Abstract:

Loading...

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 489 (100,805)

Abstract:

Loading...

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 471 (105,370)
Citation 4

Abstract:

Loading...

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 349 (148,469)
Citation 1

Abstract:

Loading...

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 236 (221,745)

Abstract:

Loading...

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 191 (269,876)

Abstract:

Loading...

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 175 (291,364)
Citation 1

Abstract:

Loading...

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 147 (337,462)
Citation 6

Abstract:

Loading...

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 116 (404,042)

Abstract:

Loading...

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

10.

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 75 (536,282)

Abstract:

Loading...

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

11.

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 67 (570,290)

Abstract:

Loading...

Global warming, state space models, forecasting global temperatures

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 62 (593,118)

Abstract:

Loading...

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