502 citations
- Acoustics Research InstituteAT1 paper
- Bank of EnglandGB1 paper
- Ca' Foscari University of VeniceIT1 paper
- Centre for Economic Policy ResearchGB1 paper
- Collegio Carlo AlbertoIT1 paper
- European Centre for Living TechnologyIT1 paper
- Illinois Institute of TechnologyUS1 paper
- IMT School for Advanced Studies LuccaIT1 paper
- Institute for Complex SystemsIT1 paper
- Jagiellonian UniversityPL1 paper
- London Institute for Mathematical SciencesGB1 paper
- London Mathematical LaboratoryGB1 paper
14 papers
Integrating granular data into a multilayer network: an interbank model of the euro area for systemic risk assessment
Ilias Aarab, Thomas Gottron, Andrea Colombo +2
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-ov…
The Aligned Economic Index & The State Switching Model
Ilias Aarab
A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel e…
Switching between states and the COVID-19 turbulence
Ilias Aarab
In Aarab (2020), I examine U.S. stock return predictability across economic regimes and document evidence of time-varying expected returns across market states in the long run. The…
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
LLM-based IR-system for Bank Supervisors
Ilias Aarab
Bank supervisors face the complex task of ensuring that new measures are consistently aligned with historical precedents. To address this challenge, we introduce a novel Informatio…
Network topology of the Euro Area interbank market
Ilias Aarab, Thomas Gottron
The rapidly increasing availability of large amounts of granular financial data, paired with the advances of big data related technologies induces the need of suitable analytics th…