About
9
Publications
371
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16
Citations
Introduction
Skills and Expertise
Additional affiliations
July 2021 - February 2023
Woldia University
Position
- Professor (Assistant)
July 2011 - August 2016
Woldia University
Position
- Lecturer
Description
- Lecturer, Department head for Mathematics department, Vice dean for Faculty of Natural and Computational sciences.
Education
September 2016 - June 2021
September 2009 - July 2011
September 2006 - July 2009
Publications
Publications (9)
Emissions markets play a crucial role in reducing pollution by encouraging firms to minimize costs. However, their structure heavily relies on the decisions of policymakers, on the future economic activities, and on the availability of abatement technologies. This study examines how changes in regulatory standards, firms' abatement costs, and emiss...
For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate of a CCP is to provide an efficient and proper clearing member default resolution procedure. When a clearing member defaults, the CCP can hedge and auction or liquidate...
We present a one-period XVA model encompassing bilateral and centrally cleared trading in a unified framework with explicit formulas for most quantities at hand. We illustrate possible uses of this framework for running stress test exercises on a financial network from a clearing member's perspective or for optimizing the porting of the portfolio o...
An expectile can be considered a generalization of a quantile. While expected shortfall is a quantile-based risk measure, we study its counterpart—the expectile-based expected shortfall—where expectile takes the place of a quantile. We provide its dual representation in terms of a Bochner integral. Among other properties, we show that it is bounded...
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to optimized certainty equivalent. Lower and upper bounds of expectile are derived in terms of expected shortfall...
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected shortfall -- where expectile takes the place of quantile. We provide its dual representation in terms of Bochner integral. Among other properties, we show that it is bou...
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to optimized certainty equivalent. Lower and upper bounds of expectile are derived in terms of expected shortfall...
