Alexey Ponomarenko | Searcharxiv

arXiv2026

Sovereign risk mitigation mechanism in emerging markets

This paper explores a mechanism for mitigating sovereign risk in emerging markets without risks mutualization. The mechanism involves pooling diversified portfolios of sovereign bonds and issuing them in tranches, with the senior tranche offering low-risk payoffs protected by the subordination of the junior tranches. We argue that this mechanism is feasible for emerging markets. The senior bonds issued by the securitization vehicle attain the properties of a safe asset. The risk level of the junior bonds depends on the structure of the underlying sovereign bonds portfolio. Nevertheless, the properties of the synthetic bonds are, arguably, acceptable for the practical application of the proposed mechanism in promoting the development of financial markets in emerging markets and for practical tasks such as intergovernmental aid or lending.

econ.GN↗

arXiv2023

Amortized neural networks for agent-based model forecasting

In this paper, we propose a new procedure for unconditional and conditional forecasting in agent-based models. The proposed algorithm is based on the application of amortized neural networks and consists of two steps. The first step simulates artificial datasets from the model. In the second step, a neural network is trained to predict the future values of the variables using the history of observations. The main advantage of the proposed algorithm is its speed. This is due to the fact that, after the training procedure, it can be used to yield predictions for almost any data without additional simulations or the re-estimation of the neural network

econ.EM↗