In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...
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...
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...
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...
This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...
We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...
We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...
