A Cross Currency Swap (CCS) is a financial instrument that allows investors to exchange a set of cashflow liabilities for an equivalent set in another currency, often USD. Investors trade CCS to secure cheaper funding, hedge FX exposures, manage liquidity risk and of course for speculative...

This article is devoted to working capital management and its optimization on an inter-organizational level when supply chain members operate collaboratively. We aim to develop and validate a model of collaborative approach to working capital management in supply chains for cases of constrained...

Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and accurately price Bermudan derivatives, including options and swaptions, with XVA under the...

Beginning with the fact that performant strategies of the financial institutions have programmes and management procedures for the banking risks, which have as main objective to minimize the probability of risk generation and the bank’s potential exposure, this paper wants to present the...

We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional...

We study a model for default contagion in intensity-based credit risk and its consequences for pricing portfolio credit derivatives. The model is specified through default intensities which are assumed to be constant between defaults, but which can jump at the times of defaults. The model is...

We study default contagion in large homogeneous credit portfolios. Using data from the iTraxx Europe series, two synthetic CDO portfolios are calibrated against their tranche spreads, index CDS spreads and average CDS spreads, all with five year maturity. After the calibrations, which render...

Although The New Basel Accord gives the methodology for managing operational risk in financial institutions, corporate risk seems not to be recognized enough. In this Ph.D. thesis we make an attempt to put some insight into operational risk measurement in a non-financial corporation. The...

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...

Systematic improvements in mortality results in dependence in the survival distributions of insured lives. This is not allowed for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also undermines the law of large numbers; a law that...