Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, stress testing programs, etc. These computations require from several hundred up to a few million revaluations. The...

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios.We consider the setting where both the implied volatility...

Researchers and practitioners who use Data Envelopment Analysis often want to incorporate several inputs and outputs in their model to consider as much relevant information as possible. However, too many inputs and outputs can result in the well-known dimensionality problem referred to as the...

This study follows the structure of Grifell-Tatjé and Lovell (Manag Sci 45:1177–1193, <CitationRef CitationID="CR20">1999</CitationRef>) and uses the non-parametric approach to decompose the change in profit of Taiwanese banks into various drivers. However, risk was never considered in the papers based on profit decomposition. Without...</citationref>