Geopolitical Risk Shocks: When the Size Matters
The paper examines non-linearities in how geopolitical risk (GPR) shocks affect the economy. Using a VARX model, it finds that large GPR...
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7 août
Risk sharing with Lambda value at risk under heterogeneous beliefs
This study provides semi-explicit formulas for inf-convolution and optimal allocations, considering homogeneous, conditional, and...
6 août
An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models
“ In this paper, we propose an efficient important sampling method for distortion risk measures in such models that reduces the...
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