This paper presents probability distributions for price and returns random processes for averaging time interval Δ. These probabilities determine properties of price and returns volatility. We define statistical moments for price and returns random processes as functions of the costs and the...

We show that the price and returns volatilities depend on the first and the second degree of the total values and the total volumes of the transactions aggregated during averaging time interval Δ. We derive expressions that describe price volatility via volatilities of the value and the volume...

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable geometric return. In order to get to the point, F theory, in...

Assuming that a given bank wants to comply with the Basel Accord requirements, in particular the Foundation IRB approach. Accordingly, it has to develop a PD model to predict the probability of default of its borrower within one year. Hence, this paper aims to present a simply empirical...

According to the Basel Accord II, one of the key factors in the Internal-Ratings Based (IRB) framework is the Risk Weight Function (RWF). Indeed, it uses four risk components including PD, LGD, EAD, and M as input to yield the capital requirement and thereby Risk-Weighted Asset (RWA). Given the...

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

CNMT (Classical Neoclassical Monetary Theory) has defined monetary policy and the role of Central Banks for the last one hundred years. This book argues that it is time to change. It proposes a NMT (New Monetary Theory) which argues that Central Banks should be responsible for the whole relation...

The main thesis in this manuscript is that a social choice theory based on aggregating individual preferences and values is insufficient to confront the social choices that today’s world is facing. It is defended in here that institutions play a critical role in any social choice, and that the...

The argument made in this manuscript is that the two traditional macroeconomic tools, fiscal policy and monetary policy, are insufficient to bring back efficiently into equilibrium an economy that has had a major crisis. Both traditional macro-tools only work through the demand side, and there...