In this short technical note we present an efficient algorithm for the maximization of the Liquidity Cover Ratio (LCR) when lower level asset caps are activated. This algorithm acts by selecting the most efficient assets to remove from the pool of such assets in order to maximize the LCR without...

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

The introduction of clean hydrogen as a future energy commodity has prompted significant interest in developing dedicated transportation and storage infrastructures as an enabler for cross-border hydrogen trade and cost-efficient supply. This paper addresses the complex challenges associated...

The European Emissions Trading Scheme (ETS) is a cap and trade system to curb CO2 emissions. It has caused both direct costs (CO2 allowances) and indirect costs (higher electricity prices) to energy-intensive industries. Moreover, as there is no global CO2 agreement, the ETS could distort the...

Different policies aim at transforming the European energy sector. To support decision making in this context, energy system models with a central-planning approach are frequently used. However, private sector investments are required to realise this transformation and there is a shift towards...