Publications:

Portfolio Selection under Systemic Risk [Link]

with Jose Olmo and Abderrahim Taamouti (2023)

Journal of Money, Credit and Banking (ABS–4/ABDC–A*)

Portfolio Selection under Non-Gaussianity and Systemic Risk: A Machine Learning Based Forecasting Approach [Link]

with Abderrahim Taamouti (2024)

International Journal of Forecasting (ABS–3/ABDC–A)

 Working Papers:

[New] Systemic Growth-at-Risk and Growth Spread Measures [SSRN Link]

with Abderrahim Taamouti

Abstract: 

This paper develops two forward-looking macro-financial metrics – Systemic Growth-at-Risk (GaR) and Growth Spread Measures – to assess how growth risks propagate across countries and to quantify the net benefits of regional integration. Applied to 18 OECD EU countries, we estimate time-varying growth distributions using GARCH-Copula and GARCH-Dynamic Conditional Correlation (DCC) models, capturing both idiosyncratic shocks and cross-country interdependence. We find that integration enhances shared growth potential but increases systemic risk exposure. Growth dividends from EU membership are heterogeneous and correlate with trade openness, fiscal stance, development level, and global uncertainty. The framework extends GaR to multi-country settings, showing economic unions as both stabilizers and amplifiers of risk.

Enhancing Portfolio Resilience to Systemic Risk: A Neural Network Approach

with Abderrahim Taamouti

R&R at Journal of Empirical Finance (ABS–3/ABDC–A)