Didier Darcet
19 August 2022

Economic Value-at-Risk

The first econometric model of Gavekal-IS, about economic growth.

For almost 40 years, financial institutions have developed sophisticated risk measures of investment portfolios, such as Value-at-Risk, and numerical simulation tools, not just central scenario estimators, namely the expectation of return. And surprisingly, economists have done little to no follow-up on this major innovation.

But today, the question of growth in the European Union deserves more than a central scenario. The current political decisions could very well cause the economic trajectory of the European Union to drift dangerously.

Just how far dangerously? And what probability?