This paper deals with ‘investment timing’, or how to make decisions on long-term investments to mitigate catastrophic risk where the risk is driven by trends and seasonality, and interest rates vary stochastically over time. Our model combines real options theory, extreme value theory and...

Public investment into risk reduction infrastructure plays an important role in facilitating adaptation to climate impacted hazards and natural disasters. In this paper, we provide an economic framework to incorporate investment timing and insurance market risk preferences when evaluating...

We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To...

We examine the impact of explanatory variables such as load, weather and capacity constraints on the occurrence and magnitude of price spikes in regional Australian electricity markets. We apply the so-called Heckman correction, a two-stage estimation procedure that allows us to investigate the...

We propose a new top-down approach to measure systemic risk in the financial system. Our framework uses a combination of macroeconomic, financial and rating factors in representative regions of the world. We formulate a mixed-frequency state-space model to estimate macroeconomic factors. To...