One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...

One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the fact that natural gas is...

The authors introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a model for loss given default (LGD), second, they bring...

<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>

We examine whether it is rational to put limit orders in a limit order market. We find that limit orders are not needed and may be even disadvantageous given that the agent trades on-line. Further, we present a numerical study indicating that putting limit orders may be optimal given that the...

In the paper, a thin market with an indivisible commodity, at which the market price is determined (by an organizer of the market) as the average price maximizing the traded volume, is modeled. Two models are presented - the first one with a finite, the second one with a possibly infinite number...

We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out...

We examine the continuous time portfolio selection problem involving limit orders; we show that this problem reduces to the corresponding problem without limit orders.