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...

In a general jump-diffusion Radon-Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further prove an anticipative sufficient stochastic...

We prove an anticipative sufficient stochastic minimum principle in a jump process setup with initially enlarged filtrations. We apply the result to several portfolio selection problems like mean and minimal variance hedging under enlarged filtrations. We also investigate utility maximizing...

In entry-exit gas markets as they are currently implemented in Europe, network constraints do not affect market interaction beyond the technical capacities determined by the TSO that restrict the quantities individual firms can trade at the market. It is an up to now unanswered question to what...

This paper addresses the following question: How can a financial institution, which has issued a European option, optimally hedge the payoff of this option by investing into the underlying stock and into the option itself? Here, optimality is measured in terms of minimal variance and the...

In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...

In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...

In the recent past, regional, national and supranational Science, Innovation and Technology (STI) policies have emphasized supporting interactions and networks between organisations of the innovation system. The policy instrument of the EU in this context are the European Framework Programmes...

Regional development has been in the centre of interest among both academics but also decision makers in the central and local governments of many European countries. Identifying the key problems that regions face and considering how these findings could be effectively used as a basis for...

This paper approaches some of the issues about relationship between two economic powers, E.U. and U.S. In this paper I tried to do an analysis at the macroeconomic level between the U.S. and E.U.. These two economic powers do not have long historical economic connection but I am sure that this...