The purpose of this paper is to examine the issue of portfolio optimization. Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the Bank of Greece to calculate the net return and the standard...

The COVID-19 pandemic has had a significant impact on numerous industries, including the event industry, resulting in widespread disruptions. The widespread cancellations of festivals have been a direct consequence of the pandemic, and, following the reopening, those that have taken place have...

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

Financial institutions are subject to many sources of risk, where risk often represents the degree of uncertainty about future net returns. Credit Risk can result in potential loss due to the inability of a counterparty to meet its obligations and is a function of the credit exposure, the...

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and Expected Shortfall, pose challenges due to the rare event character of multiple defaults among obligors in credit portfolios at a high confidence level. We explore various...