"Modelling financial interconnections and forecasting extreme losses are crucial for risk management in financial markets. This thesis studies multivariate risk

In my dissertation, I study different channels through which shocks in the real economy can affect financial asset returns. The first chapter studies immigratio

Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analys

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers p

Chapter 1 extends Cass and Stiglitz's analysis of preference-based mutual fund separation. We show that high degrees of fund separation can be constructed by ad