Purpose: Basel III regulations require banks to protect themselves against strategic risk. This paper provides a comprehensive and measurable definition of this risk and proposes a framework to estimate economic capital requirements.Design/methodology/approach: The paper studies the literature...

Purpose: The credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit assessment and rating scheme for sovereigns. Design/methodology/approach: This paper develops a...

Sustainability is not a one-player task. Organizations have started to realize that their supply chains have a significant social and environmental impact, usually greater than their own operations, and managing sustainability at suppliers is crucial for supply chain-wide sustainability....

In radiotherapy, uncertainties in tumor radioresistance and its progression can degrade the efficacy of deterministic treatments. While a robust methodology can overcome this, it often produces overly conservative or suboptimal decisions, especially when there are changes in time. We aim to...

Like options on stocks, options on commodities provide firms with protection against adverse price movements. Many firms procure commodity at an offshore location and transport it via ocean freight. Increased globalization and increased demand for ocean-based transportation has resulted in ocean...

We present a method to solve the free-boundary problem that arises in the pricing of classical American options. The method presented herein leverages on a one factor approximation and the moving boundary approach to yield an algorithm which has superior run times and accuracy as compared other...