Fabio Caccioli

We analyze the stability of financial investment networks, where financial institutions hold overlapping portfolios of assets. We consider the effect...

Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds...

This paper is concerned with upstreamness and downstreamness of industries and countries in global value chains. Upstreamness and downstreamness...

Ranking sectors and countries within global value chains is of paramount importance to estimate risks and forecast growth in large economies. However...

Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential...