In its Fundamental Review of the Trading Book (FRTB), the Basel Committee introduces the concept of “non-modellable risk factors” (NMRFs), risk factors which cannot be observed frequently enough in the market to establish an accurate and timely estimate of their value. NMRFs have to be...

In many environments, including credit and online markets, past records about participants are collected, published, and erased after some time. We study the effects of erasing past records on trade and welfare in a dynamic market where each seller's quality follows a Markov process and buyers...

In many environments, including credit and online markets, past records about participants are collected, published, and erased after some time. We study the effects of erasing past records on trade and welfare in a dynamic market where each seller's quality follows a Markov process and buyers...