Conditional Value-at-Risk Constrained Optimization of a Power Portfolio Published in International Journal of Applied Decision Sciences • A predictive and risk analytics tool guiding cash management of warranty reserves, covering contingent liabilities. • Finding a balance between excess reserves causing opportunity cost, and not enough reserves necessitating emergency funds. • The decision mak...

I establish a theoretical framework to address three distinct, but interrelated puzzles in international economics: (1) the occurrence of twin crises, (2) the existence of large amounts of sovereign debt, and (3) the presence of substantial amounts of international reserves. By considering the interaction between growth and banking in a small open economy that is unable to commit to repaying it...

The accumulation of large amount of sovereign reserves has fuelled an intense debate on the associated costs. In a world with liquidity crises and strategic default, we model a contracting game between international lenders and a country, which delivers the country’s optimal portfolio choice and the cost of sovereign debt: at equilibrium, the sovereign chooses the amount of debt and decides on ...