Showing 1 - 10 of 48
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...
Persistent link: https://www.econbiz.de/10013034845
Persistent link: https://www.econbiz.de/10013465727
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...
Persistent link: https://www.econbiz.de/10014357491
Persistent link: https://www.econbiz.de/10012587816
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...
Persistent link: https://www.econbiz.de/10012603832
Persistent link: https://www.econbiz.de/10014512279
Persistent link: https://www.econbiz.de/10014279306
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...
Persistent link: https://www.econbiz.de/10014260091
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),...
Persistent link: https://www.econbiz.de/10014636599
Persistent link: https://www.econbiz.de/10015045564