In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure.We explain how we measure the exposure for each counterparty...

This work aims to extend previous research on how a trifactorial stochastic model, which we call CIR3, can be turned into a forecasting tool for energy time series. In particular, in this work, we intend to predict changes in the industrial production of electric and gas utilities.The model...

The financial system in the Kingdom of Saudi Arabia (KSA) has a history of relative soundness, particularly in banking, due to comparatively strict and enforced domestic supervision, and supported by what has been for the most part a reasonably robust economy. However, the sector is facing...

We evaluate Brunnermeir’s Theory of Resilience in the context of complex system dynamics where there however can be local and global resilience, vulnerability, loss of resilience, cycles, disruptive contractions, and persistent traps. In the paper, we refer to three-time scales. First, for...

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...