In this article, we study the relevance of green finance from a portfolio and a network perspective. The estimates are derived from a regularized graphical model, which provides robust results with respect to two important issues. First, we refer to the curse of dimensionality, as we focus on a...

The downturn in the world economy following the global banking crisis has left the Chinese economy relatively unscathed. This paper develops a model of the Chinese economy using a DSGE framework with a banking sector to shed light on this episode. It differs from other applications in the use of...

Lawsuits brought pursuant to section 10(b) of the Securities and Exchange Act depend on the reliability of a statistical tool called an event study to adjudicate issues of reliance, materiality, loss causation, and damages. Although judicial acceptance of the event study technique is pervasive,...

Trust is a collective, self-fulfilling phenomenon that suggests analogies with phase transitions. We introduce a stylized model for the build-up and collapse of trust in networks, which generically displays a first order transition. The basic assumption of our model is that whereas trust begets...

We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...

Periods of economic and financial stress traditionally give rise to profound changes in economic theory and in the way policy decisions are taken. Motivated by the recent interest in renewing macroeconomics after the global financial crisis, we collected the views of senior central bank staff in...

This paper will demonstrate what China was doing, is doing and will do for its economic expansion during and after global crisis. Many thoughts and theories about Chinese economic reforms are analyzed. The road map and goal of Chinese economic growth are examined and outlined in this paper....

Since Chinese economy takes a fast growth path toward the top of the world economy, it is interesting to examine China's way of development. This paper will demonstrate what china was doing, is doing and will do for its economic expansion during and after global crisis. Many thoughts and...

Modelling financial dependence is one of the major areas of research in quantitative finance and econometrics. Efficient quantification of dependence is desirable for portfolio theory, hedging, valuation of assets and risk management in general. Quantification of co-movement or multivariate...

We propose a new methodology of assessing the effects of individual institution's risk on the others and on the system as a whole. We build upon the Conditional Value-at-Risk approach, however, we introduce the explicit Granger causal linkages and we account for possible nonlinearities in the...