The 2007–2008 US subprime mortgage crisis evolved into a financial crisis that negatively affected many economies in the world and was afterwards widely referred to as the global financial crisis. Since the beginning of this financial crisis of 2008–2009, South Africa experienced a...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

This paper investigates the performances of an inflation targeting regime in a learning economy whose functioning is tackled via an Agent-Based Model (ABM). While the structure of our ABM has features in common with those of the New Keynesian canonical modelling framework, we model the...

Expectations play a major role in macroeconomic dynamics, especially regarding the conduct of monetary policy. Yet, modeling the interplay between communication, expectations and aggregate outcomes remains a challenging task, mainly because this requires deviation from the paradigm of rational...

It is widely feared that environmental degradation induced by climate change may lead to economic and political insecurity through channels such as resource scarcity and mass migration. In this paper, we have developed an agent-based model to study whether resource scarcity is likely to lead to...

This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European option pricing theorem based on Black–Scholes' equation is implemented by the Finite-Difference Method (FDM). However, the numerical models generated by the FDM could be...

The computation of the bilateral counterparty valuation adjustment for a credit default swap (CDS) contract is in effect the modeling of the default dependence among the investor, the protection seller, and the reference entity. We present a contagion model, where defaults of three parties are...

This paper develops a new method for incorporating uncertainty within a computable general equilibrium (CGE) model. The method involves incorporating uncertainty into the model by formulating different states of the world or paths that the economy may take. The risk then is that on one or more...

We consider a classical heavy tailed risk model, included in a regulation mechanism. The regulator exercises a minimal cash requirement level and penalties for violating it to regulate the insurance firm. The problem of the insurance firm is to establish an investment and risk exposure policy as...

Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation...