Purpose – There is limited discussion in the literature of the problems associated with constructing stress tests. The Credit Crunch has revealed that attention simply to haircuts to asset values and resulting margin calls is insufficient. The purpose of this paper is to explore additional...

The estimation of medium-term market risk dictated by limited data availability, is a challenging issue of concern amongst academics and practitioners. This paper addresses the issue by exploiting the concepts of volatility and quantile scaling in order to determine the best method for...

Author's abstract. Motivated by many applications such as typical blockbuster product launches, we address in this paper, an inventory/production rollover process between an old and a new product, with a random availability/admissibility date for the new product. The optimization problem...