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.

Special Papers
Aug 2014
SP 4
Peter Sarlin
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data availability and precision, the transition from firm-centric to system-wide supervision imposes vast...
Discussion Papers
Jul 2014
DP 16
Calebe de Roure and Paolo Tasca
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows us to remove frictions that previously impeded the empirical demonstration of the law of one price...
Discussion Papers
Jul 2014
DP 15
Leonard C. MacLean, Yonggan Zhao and Bill Ziemba
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital. However, it has considerable short run risk since the utility is logarithmic, with essentially zero...
Special Papers
Jul 2014
SP 3
This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation. It discusses key differences and similarities as to how both sectors interact with the financial system. Insurers interact as...
Discussion Papers
Jul 2014
DP 14
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their rights against issuers. Equity and debt securities are now normally held through a chain of custodians...
Discussion Papers
Jun 2014
DP 13
Gur Huberman and Rafael Repullo
We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral hazard problem leads to an excessive level of risk. Short-term debt may have a disciplining...
Opinion Pieces
Jun 2014
Risk forecasting is central to financial regulations, risk management, and macroprudential policy. This column raises concerns about the reliance on risk forecasting, since risk forecast models have high levels of model risk – especially when...
Special Papers
May 2014
SP 2
Sebastien Lleo and Bill Ziemba
What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult to take the necessary actions that eliminate the problem....
Discussion Papers
May 2014
DP 12
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a critical review of the recent empirical literature on the supply and demand of collateral which has...
Discussion Papers
Apr 2014
DP 11
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty....

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