Publications

Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...

This CEPR Press eBook presents the perspectives of policymakers, stress test designers and academics on the remarkable development of stress testing...

Journal of Financial Stability, Volume 23, Pages 79-91.

Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that...

Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...

We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...

We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...

This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...

Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...

The European Union has pursued a number of initiatives to create a safer and sounder financial sector for the single market. In parallel, bold...