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
Aug 2014
DP 18
Sebastien Lleo and Bill Ziemba
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash...
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...
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...
Discussion Papers
May 2014
DP 12
Ron Anderson and Karin Joeveer
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....
Discussion Papers
Feb 2014
DP 10
Paolo Tasca and Stefano Battiston
This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk diversification can be sub-optimal. In particular, banks must choose the optimal level of diversification...
Discussion Papers
Jan 2014
DP 9
Jong Ho Hwang
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global economy. The paper examines the current state of the financial risk framework, notes its...
Discussion Papers
Jan 2014
DP 8
Christophe M. Boucher, Jon Danielsson, Patrick S. Kouontchou and Bertrand B. Maillet
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk...