This paper presents a new way of measuring residual income, originally introduced by Magni (2000a,b,c, 2001a,b, 2003). Contrary to the standard residual income, the capital charge...
This paper is based on the results from the project PROTEUS sponsored by the French Ministry of Economy, Finance and Industry and the Federal Ministry of Education and Research of...
Thomas Bangemann, Xavier Rebeuf, Denis Reboul, And...
: In this paper, we develop a framework for the modeling, analysis, and computation of solutions to multitiered financial network problems with intermediaries in which both the sou...
The technique of ANOVA has been widely used in Economics and Finance where the observations are usually time-dependent but the model itself is treated as independent in time. In t...
A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover ca...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...