The Determinants of Systemic Importance
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...
The Concept of Systemic Risk
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In...
Macroprudential oversight, risk communication and visualization
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data...
Bitcoin and the PPP Puzzle
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...
Optimal Capital Growth with Convex Shortfall Penalties
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...
How Insurers Differ from Banks: A Primer on Systemic Regulation
This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation. It discusses key differences...
Custody Chains and Remoteness: Disconnecting Investors from Issuers
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...
Moral Hazard and Debt Maturity
We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral...
Model risk and the implications for risk management, macroprudential policy, and financial regulations
Risk forecasting is central to financial regulations, risk management, and macroprudential policy. This column raises concerns about the reliance on...
How to lose money in derivatives: examples from hedge funds and bank trading departments
What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster...
The Economics of Collateral
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...
Model Risk of Risk Models
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...
Diversification and Financial Stability
This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...
Walrasian foundations for equilibria in segmented markets
Mathematics and Financial Economics, Volume 8, pages 249–264.
A Proposal for an Open-Source Financial Risk Model
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...
