Longterm decision making under the threat of earthquakes?
Under the threat of earthquakes, long-term policy makers need tools to optimally decide on the economic trajectories that will maximize the society...
Financial crises and liberalization: Progress or reversals?
Financial crisis can trigger policy reversals, i.e. they can lead to a process of reregulation of financial markets. Using a recent comprehensive...
The Efficient IPO Market Hypothesis: Theory and Evidence
We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Bankruptcy in Groups
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...
Market Resilience
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
Bank Resolution and the Structure of Global Banks
We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...
