I entertain a generalization of the standard Bolzmann-Gibbs-Shannon measure of entropy in multiplier preferences of model uncertainty. Using this measure, I derive a generalized exponential certainty equivalent, which nests ...

While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the ...

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...

The management of universities demands data on teaching and research performance. While teaching parameters can be measured via student performance and teacher evaluation programs, the connection of research outputs and ...

In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals ...

Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of ...

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners ...

We analyze a novel feedback mechanism between market and funding liquidity that causes self-fulfilling liquidity dry-ups. Financial firms facing funding withdrawals have an incentive to acquire information about their ...

In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that ...

Counter to the credit channel of monetary transmission, monetary policy tightening induces a rise in lending by two different types of non-bank financial institutions (NBFI): shadow banks and investment funds. A monetary ...