Lerby Ergun

Senior Economist
Department of Financial Markets – Market Risks & Vulnerabilities
Bank of Canada

Publications

Discussion Papers
Jun 2020
DP 98
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce valuation uncertainty among market participants. The analysis is based on a unique dataset of price...
Discussion Papers
Mar 2016
DP 59
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 co-movement of individual stocks with the market, given that the state of the world is extremely...
Discussion Papers
Mar 2016
DP 58
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing the asymptotic mse, that do not perform well in finite samples. Here we advance a data driven method...