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We consider a two-period sourcing and production problem. First, a firm (OEM) sources from multiple suppliers who have limited capacity and correlated disruption risk. After the supply is realized, the firm also has access to the spot market for the extra material needed for its production. The...
Within the new Basel regulatory and capital framework for market risks (FRTB, 2016), the Basel Committee on Banking Supervision’s (BCBS’s) sets out significant revisions to the market risk capital requirements framework. Key areas include moving from Value-at-Risk (VaR) to Expected Shortfall...
This paper defines a financial differential game framework to a multi-agent financial Merton Model. Unlike the Merton model based on consumption optimization, we assume that consumption expenditures are determined by agents financial commitments to consumption (and thereby, their savings and...
Investors operate capital markets to increase the value of their wealth. By transforming wealth into capital, the process yields return and carries risk—the two elements that characterize investments. Investing in a loan-instrument (bond) carries interest and credit risk; investing in an...
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