Purpose: The credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit assessment and rating scheme for sovereigns. Design/methodology/approach: This paper develops a...

Purpose: Basel III regulations require banks to protect themselves against strategic risk. This paper aims to provide a comprehensive and measurable definition of this risk and proposes a framework to estimate economic capital requirements. Design/methodology/approach: The paper studies the...

The optimal-exercise policy of an American option dictates when the option should be exercised. In this paper, we consider the implications of missing the optimal exercise time of an American option. For the put option, this means holding the option until it is deeper in-the-money when the...

A practical mathematical programming model for the strategic fuel diversification problem is presented. The model is designed to consider the tradeoffs between the expected costs of investments in capacity, operating and maintenance costs, average fuel costs, and the variability of fuel costs....

Many outpatient clinics are experimenting with open access scheduling. Under open access, patients see their physicians within a day or two of making their appointment request, and long term patient booking is very limited. The hope is that these short appointment lead times will improve patient...

Fuel diversification implies the selection of a mix of generation technologies for long-term electricity generation. The goal is to strike a good balance between reduced costs and reduced risk. The method of analysis that has been advocated and adopted for such studies is the mean-variance...