arXiv subjects

Enrique Calderín-Ojeda

Publications and source records attributed to Enrique Calderín-Ojeda.

3 recordsLinked to original sources

arXiv2026

Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution

Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)-based capital allocation is arguably the most popular capital allocation method, its inability to reflect important tail behaviour of losses necessitates a more accurate approach. In this paper, we introduce a new capital allocation method based on the tail central moments (TCM), generalising the tail covariance allocation informed by the tail variance. We develop analytical expressions of the TCM as well as the TCM-based capital allocation for the class of normal mean-variance mixture distributions, which is widely used to model asymmetric and heavy-tailed data in finance and insurance. As demonstrated by a numerical analysis, the TCM-based capital allocation captures several significant patterns in the tail region of equity losses that remain undetected by the CTE, enhancing the understanding of the tail risk contributions of risk components.

q-fin.PM↗

arXiv2020

The risk of death in newborn businesses during the first years in market

In this paper, we analyzed how business age and mortality are related during the first years of life, and tested the different hypotheses proposed in the literature. For that, we used data on U.S. business establishments, with 1-year resolution in the range of age of 0-5 years, in the period 1977-2016, published by the United States Census Bureau. First, we explored the adaptation of classical techniques of survival analysis (the Life Table and Peto-Turnbull methods) to the business survival analysis. Then, we considered nine parametric probabilistic models, most of them well-known in reliability analysis and in the actuarial literature, with different shapes of the hazard function, that we fitted by maximum likelihood method and compared with the Akaike information criterion. Our findings show that newborn firms seem to have a decreasing failure rate with the age during the first five years in market, with the exception of the first months of some years in which the risk can rise.

econ.GN↗

arXiv2018

The nonlinear distribution of employment across municipalities

In this paper, the nonlinear distribution of employment across Spanish municipalities is analyzed. In addition, we explore the properties of the family of generalized power law (GPL) distributions, and test its adequacy for modelling employment data. The hierarchical structure of the GPL family that includes the hierarchy of Pareto (power law) distributions is deeply studied. A new subfamily of heavy-tailed GPL distributions that is right tail equivalent to a Pareto (power law) model is derived. Our findings show on the one hand that the distribution of employment across Spanish municipalities follows a power law behavior in the upper tail and, on the other hand, the adequacy of GPL models for modelling employment data in the whole range of the distribution.

stat.ME↗