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Operational research insights on risk, resilience & dynamics of financial & economic systems

Author

Listed:
  • Hachmi Ben Ameur

    (INSEEC Grande Ecole)

  • Ephraim Clark

    (Middlesex University)

  • Zied Ftiti
  • Jean-Luc Prigent

    (CY Cergy Paris University)

Abstract

Our article offers insights on the role of operational research (OR) in understanding financial and economic systems' risks and dynamics. It presents the latest methods in OR to address risks and uncertainties in these systems, covering topics such as options pricing, portfolio optimization, banking resilience, and the analysis of financial and economic co-movements. The included studies utilize advanced analytical tools, like stochastic programming, decision analysis, and machine learning, to create robust models for complex systems. These contributions aim to be valuable for academics, practitioners, policymakers, and regulators in the field.

Suggested Citation

  • Hachmi Ben Ameur & Ephraim Clark & Zied Ftiti & Jean-Luc Prigent, 2024. "Operational research insights on risk, resilience & dynamics of financial & economic systems," Annals of Operations Research, Springer, vol. 334(1), pages 1-6, March.
    • Handle: RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-024-05869-x
    DOI: 10.1007/s10479-024-05869-x
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    References listed on IDEAS

    as
    1. Amina-Feriel Baba & Sana Ben Kebaier & Anna Creti, 2022. "How efficient are natural gas markets in practice? A wavelet-based approach," Post-Print hal-03958311, HAL.
    2. Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model," Annals of Operations Research, Springer, vol. 334(1), pages 101-131, March.
    3. Huosong Xia & Juan Weng & Sabri Boubaker & Zuopeng Zhang & Sajjad M. Jasimuddin, 2024. "Cross-influence of information and risk effects on the IPO market: exploring risk disclosure with a machine learning approach," Annals of Operations Research, Springer, vol. 334(1), pages 761-797, March.
    4. Philippe Bertrand, 2022. "Black-scholes approximation of warrant prices: slight return in a low interest rate environment," Post-Print hal-03646980, HAL.
    5. Sami Ben Jabeur & Salma Mefteh-Wali & Jean-Laurent Viviani, 2021. "Forecasting gold price with the XGBoost algorithm and SHAP interaction values," Post-Print hal-03331805, HAL.
    6. Waël Louhichi & Nadia Saghi-Zedek & Zainab Srour & Jean-Laurent Viviani, 2022. "The effect of liquidity creation on systemic risk: evidence from European banking sector," Post-Print hal-03775358, HAL.
    7. Philippe Bertrand, 2022. "Black-Scholes Approximation of Warrant Prices: Slight Return in a Low Interest Rate Environment," Post-Print hal-03672714, HAL.
    Full references (including those not matched with items on IDEAS)

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