Discussion Papers

We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...

Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...

Under the threat of earthquakes, long-term policy makers need tools to optimally decide on the economic trajectories that will maximize the society...

Financial crisis can trigger policy reversals, i.e. they can lead to a process of reregulation of financial markets. Using a recent comprehensive...

We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...

Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...

European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...