In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...

Determinants of default risk of banks in emerging economies have so far received inadequate attention in the literature. Using panel data techniques, this paper seeks to examine the impact of macroeconomic and endogenous factors on non-performing assets for the period from 1997-2009. The...

We analyse the structural aspects of the banking Risk Appetite Framework (RAF), providing an operational application in the light of the detailed recommendations of the banking supervisors. We develop a quantitative approach that could be used to adapt to the requirements of these regulations...

This paper investigates the most appropriate model for generating scenarios for daily foreign exchange rates for a long history of a large number of daily exchange rates and finds: returns are not normal; a mean reversion model is rarely appropriate; sampling from historical returns (natural log...

This introductory note discusses the calculation of value at risk (VaR) of a company with two departments. The problem is analysed under two scenarios and compared. Firstly, the problem is studied under the assumption of normality of the distribution and, secondly, the calculation is made...

This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then allowed to trade put options on the asset. I simulate the distribution of returns for different quantities of options and investigate statistics from the distribution. In the first...

This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the model introduced in Bell (2014) by allowing both the quantity and strike price to vary. I use the 5% quantile from the portfolio distribution to measure riskiness and compare...

Supply Chain Risk Management (SCRM) is an increasingly popular subject of research which emphasizes the goals of achieving improved supply chain robustness through development of design and operational strategies. Disruption management is one aspect of SCRM which examines the ability of the...

This paper presents a modelling framework for analysis of financial derivatives. The framework analyzes the derivative from the perspective of a producer who has uncertain quantity of production. Quantity has a statistical relationship to an index number, or risk factor, and the producer can buy...