GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

This tutorial gives an overview of SHAP (SHapley Additive exPlanation), one of the most commonly used techniques for examining a black-box machine learning (ML) model. Besides providing the necessary game theoretic background, we show how typical SHAP analyses are performed and used to gain...

Published research that seeks to find the determinants of capital ratios does not distinguish between operational and other influences and presents inconsistent and opaque results. This paper rectifies previous findings, incorporating in the modelling methods a more accurate insight into how...

We argue that frequentist hypothesis testing - the dominant statistical evaluation paradigm in empirical research - is fundamentally unsuited for analysis of the nonexperimental data prevalent in economics and other social sciences. Frequentist tests comprise incompatible repeated sampling...

This article investigates a bracketing property that purports to yield upper- and lower bounds on the treatment effects obtained from a fixed effects- and lagged dependent variable model. With reference to both analytical results and a Monte Carlo simulation, we explore the conditions under...

Pre-existing public debt vulnerabilities have been exacerbated by the effects of the pandemic, raising the risk of fiscal crises in emerging markets and low-income countries. This underscores the importance of models designed to capture the main determinants of fiscal distress episodes and...

We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns. The standard ARCH or GARCH framework is recovered...

This paper shows that a qualitative analysis can always be used in evaluating a model's validity both in general and compared to other hypothesized models. The analysis relates the sign patterns and possibly other information of hypothesized structural arrays to the sign pattern of the estimated...

This paper shows that a multiple regression with two highly correlated explanatory variables, both of them with a near zero correlation with the dependent variable may correspond to a spurious regression or to a homeostatic model, with estimates highly sensible to outliers. The regression method...

We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor.We concentrate on inference about a single focus parameter, interpreted as the causal effect of a...