The paper deals with the optimization problem aiming to maximize the expected return given the amount of the bank’s open currency positions subject to the level of foreign exchange risk. The goal of the paper is to compare the efficiency of problem-solving assuming either multivariate...

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the traditional approach which neglects the asymmetry and the fat tails of interest rates joint multivariate distribution. R software is used for practical implementation of the...

Ten years after the global crisis of 2007-09 the financial regulation has being enhanced with the pace of world stock markets growth. Latter ones have hit their historical maximum values being two to three fold higher than on the eve of the crisis. Such prudential tightening incentivizes using...

Although the probability of default (PD) modeling has reached a great maturity in both academia and business, for the Italian case we demonstrate that banks' available PD models would be misleading if today applied directly to Italian banks. We argue that what determines the PD of Italian banks,...