risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

climate change. The risk of uncertain and potentially irreversible catastrophes is an important issue related to the latter … demonstrates a multistage stochastic programming framework for catastrophe modeling with endogenous uncertainty, applied to a … benchmark integrated assessment model. This study moves beyond recent catastrophe or tipping point studies with arbitrary risk …

We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue … provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated …, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts …

This paper proposes an application of the analytical path assembled within my PhD research on Disaster Risk Creation … (DRC) in humanitarian contexts, to Flood Risk Management (FRM) planning in Italy. The investigation concerns some key … challenges, for spatial planning and disaster risk management, in understanding, evaluating, and addressing Disaster Risk (DR …

The desirability, efficacy, and cost-effectiveness of government welfare policies depend crucially on the income risk … saving and labor supply. Shocks to labour earnings are a key driver of income risk. A recent literature has documented that … evaluation of such policies. This report summarizes the findings of a two-year research project on “Earnings Risk, Government …