Public Codes

This section is still in progress, but if you dig into my GitHub repositories, you will find everything that is supposed to be here.

"Uninsured Idiosyncratic Risk and Aggregate Saving" - Aiyagari (1994)
- Discrete time
- Continuous time
"Risk Management: Coordinating Corporate Investment and Financing Policies" - Froot, Schaferstein and Stein (1993)
"The GARCH Option Pricing Model" - Duan (1995)
"Risk and Income Fluctuations in Emerging Economies" - Arellano (2008)
"Collateral, Risk Management, and the Distribution of Debt Capacity" - Rampini and Viswanathan (2010)
"Overborrowing and Systemic Externalities in the Business Cycle" - Bianchi (2011)
"Finite-State Approximation Of VAR Processes: A Simulation Approach" - Stephanie Schmitt-Grohé and Martín Uribe (2014)
"A Macroprudential Theory of Foreign Reserve Accumulation" - Arce, Bengui and Bianchi (2022)