This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method, which banks currently apply in line with the Basel regulatory requirements, we propose to include also alternative price mechanisms from the...

We extend the multi-country, multi-sector agent-based model in Dosi et al. (2019, 2021) by incorporating an exchange rate market where heterogeneous chartist and fundamentalist financial traders exchange foreign currencies. This introduces complex interactions between the real and financial side...

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...