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
Sep 2018
DP 84
Orkun Saka
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering the...
Discussion Papers
Sep 2018
DP 83
Toni Ahnert, Kartik Anand, Prasanna Gai and James Chapman
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's privately optimal encumbrance choice balances the benefit of expanding profitable yet illiquid...
Discussion Papers
Sep 2018
DP 82
Sebastien Lleo and Bill Ziemba
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature financial markets. In this paper, we investigate whether traditional crash...
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...
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...
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...
Discussion Papers
Feb 2018
DP 57
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample...
Discussion Papers
Nov 2017
DP 76
Ray Barrell, Dilly Karim and Corrado Macchiarelli
Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the economy. We consider the construction of the credit to GDP gap looking at different ways of extracting...

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