Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Discussion Papers
Aug 2018
DP 81
William H. Beaver, Stefano Cascino, Maria Correia and Maureen F. McNichols
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary may impose severe costs on the group as a whole. In several countries around the world, bankruptcy...
Opinion Pieces
Jul 2018
Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and Jia Rong Fan compare and contrast these four, reaching a very subjective conclusion as to which is...
Discussion Papers
Jul 2018
DP 80
Fabio Cortes, Peter Lindner, Sheheryar Malik and Miguel Segoviano
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks...
Discussion Papers
Jul 2018
DP79
Zineddine Alla, Raphael A. Espinoza, Helen Q. Li and Miguel Segoviano
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets...
Opinion Pieces
Jun 2018
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the short run, this column argues that cryptocurrencies are lousy investments and will eventually reach a...
Opinion Pieces
Jun 2018
Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?
Special Papers
Apr 2018
SP 14
Technology changes society. Financial services and their regulation is not immune from this. Indeed, distributed ledger technology and artificial intelligence have the potential to change the way in which financial services are delivered and...
Discussion Papers
Apr 2018
DP 78
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.’ We...
Discussion Papers
Apr 2018
DP 77
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in the equilibrium price. We study the learning externalities that arise in this setting, and in...
Opinion Pieces
Mar 2018
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high volatility as a warning signal, this column argues that such an alarm comes too late, arriving...

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