Which numerical computing language is best: Julia, MATLAB, Python or R?
Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and...
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...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Cryptocurrencies are lousy investments
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...
Cryptocurrencies
Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?
Regulatory Technology
Technology changes society. Financial services and their regulation is not immune from this. Indeed, distributed ledger technology and artificial...
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...
Low risk as a predictor of financial crises
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high...
Learning from History: Volatility and Financial Crises
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...
Macroprudential stress tests
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of...
Cryptocurrencies don't make sense
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not...
Macroprudential Stress Tests and Policies: Stretching for Robust and Implementable Frameworks
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
