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FRTB's PL Attribution Tests Decomposed & Optimized
Mahfoudhi, Ridha - 2018
One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...
Persistent link: https://www.econbiz.de/10012922040
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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Optimising a Mining Portfolio Using CVaR
Allen, David E. - 2012
The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining share portfolios from each of the world's seven leading mining areas using Conditional Value at Risk (CVaR) which measures those risks beyond traditional Value at Risk (VaR)...
Persistent link: https://www.econbiz.de/10013113404
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Modelling Banking Sector Stability with Multicriteria Approaches
Gaganis, Chrysovalantis - 2012
Banking crises can be damaging for the economy, and as the recent experience has shown, nowadays they can spread rapidly across the globe with contagious effects. Therefore, the assessment of the stability of the banking sectors is important for regulators, depositors, investors and the general...
Persistent link: https://www.econbiz.de/10013116499
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Optimal Network Compression
Amini, Hamed - 2020
formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We …
Persistent link: https://www.econbiz.de/10012825191
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Economic Growth, Liquidity, and Bank Runs
Ennis, Huberto M. - 2013
We construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this … setting, a bank run has a permanent effect on the levels of the capital stock and of output. In addition, the possibility of a … periods. A bank run in our model is triggered by sunspots, and we consider two different equilibrium selection rules. In the …
Persistent link: https://www.econbiz.de/10013089523
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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering expected cashflow gaps without violating regulatory and business constraints. Anticipated economic value loss, cashflow loss, and adverse market impact are the major drivers of...
Persistent link: https://www.econbiz.de/10012932264
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A data-driven explainable case-based reasoning approach for financial risk detection
Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021
The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....
Persistent link: https://www.econbiz.de/10012584957
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Finding an Optimal Approval Strategy in Credit Scoring System Using Genetic Algorithm
Roh, Hyunwoo; Kim, Youngwoo; Jeong, Seungwoo - 2023
The purpose of this study is to build a system that automatically generates an optimal strategy (AGOS) which can solve the business problem of maximizing the acceptance rate without taking more risks in loan approval process. This paper formulates the finding an optimal approval strategy of a...
Persistent link: https://www.econbiz.de/10014350326
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A Separating Equilibrium for Stock Repurchase Programs via PUT Options : Transforming a Mathematical Proof into Visual Form
Gyoshev, Stanley B. - 2012
We develop a mathematical proof demonstrating that only financially-strong firms will sell put options on their own stock, but financially-weak firms will not. The sale of options on a company's own stock exposes the buyer to default risk of the issuer, which additionally complicates the payoff...
Persistent link: https://www.econbiz.de/10013097053