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...

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...

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...

In this chapter, we first explain what we mean by a signal, and then we describe some characteristics such as energy, frequency, phase, power spectrum, etc. We show how to analyse it by the means of spectral analysis and Fourier transform. Moreover, as the Fourier transform does not provide any...

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),...

The goal is to investigate the dynamics of banks’ share prices and related financials that lead to potential disruptions to credit and the economy. We adopt a classic macroeconomic equilibrium model with households, banks, and non-financial companies and explain both market valuations and...