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Robust Asset-Liability Management
How should financial institutions hedge their balance sheets against interest rate risk when they have long-term assets and liabilities?
A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models
I introduce a model-free methodology to assess the impact of disaster risk on the market return.
Capital and Labor Income Pareto Exponents across Time and Space
We estimate capital and labor income Pareto exponents across 475 country-year observations that span 52 countries over half a century (1967-2018).
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