Publications

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

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

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

September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...

Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains...

Journal of Economic Theory, Volume 177, Pages 558-593.

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

Journal of Finance, 74 (4), 1713-1750. 

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

The Review of Financial Studies, 31 (8), 3019-3060

Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and...

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...

The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.

Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...

Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?