This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a...

Derivamos las condiciones para la elección óptima de cartera bajo una utilidad con aversión al riesgo relativo constante y distribuciones de probabilidad alternativas que son capaces de capturar las caraterísticas de asimetría y curtosis de los rendimientos de los activos financieros....

This dissertation studies strategies to mitigate the risks associated with operational and strategic decisions of a firm, particularly focusing on project management, product development and procurement decisions. In the first essay we develop two simulation-based methods to evaluate risky...

his paper provides a review of multiple criteria decision analysis (MCDA) for cases where attribute evaluations are uncertain. The main aim is to identify different tools which can be used to represent uncertain evaluations, and to broadly survey the available decision models that can be used to...

In this paper, we first extend the stochastic dominance (SD) theory by introducing the first three orders of both ascending SD (ASD) and descending SD (DSD) to decisions in business planning and investment to risk-averse and risk- loving decision makers so that they can compare both return and...