Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Discussion Papers
Sep 2018
DP 84
Orkun Saka
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset covering the...
Discussion Papers
Sep 2018
DP 83
Toni Ahnert, Kartik Anand, Prasanna Gai and James Chapman
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's privately optimal encumbrance choice balances the benefit of expanding profitable yet illiquid...
Special Papers
Sep 2018
SP 15
Angela Antetomaso, Brunello Rosa and Nouriel Roubini
September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history and the beginning of the Global Financial Crisis (GFC), the most severe episode of financial...
Opinion Pieces
Sep 2018
Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains and authorities. On top is the authority in charge of fiscal policy, followed by those running...
Discussion Papers
Sep 2018
DP 82
Sebastien Lleo and Bill Ziemba
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature financial markets. In this paper, we investigate whether traditional crash...
Discussion Papers
Aug 2018
DP 81
William H. Beaver, Stefano Cascino, Maria Correia and Maureen F. McNichols
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary may impose severe costs on the group as a whole. In several countries around the world, bankruptcy...
Opinion Pieces
Jul 2018
Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and Jia Rong Fan compare and contrast these four, reaching a very subjective conclusion as to which is...
Discussion Papers
Jul 2018
DP 80
Fabio Cortes, Peter Lindner, Sheheryar Malik and Miguel Segoviano
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks...
Discussion Papers
Jul 2018
DP79
Zineddine Alla, Raphael A. Espinoza, Helen Q. Li and Miguel Segoviano
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets...
Opinion Pieces
Jun 2018
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the short run, this column argues that cryptocurrencies are lousy investments and will eventually reach a...

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