3 papers
econ.GN2021
Solving Heterogeneous General Equilibrium Economic Models with Deep Reinforcement Learning
Edward Hill, Marco Bardoscia, Arthur Turrell
General equilibrium macroeconomic models are a core tool used by policymakers to understand a nation's economy. They represent the economy as a collection of forward-looking actors…
q-fin.GN2019
Lost in Diversification
Marco Bardoscia, Daniele d'Arienzo, Matteo Marsili +1
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk,…
q-fin.RM2012
A Dynamical Model for Operational Risk in Banks
Marco Bardoscia
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous gen…