The fatal flaw in macropru: It ignores political risk
Political risk is a major cause of systemic financial risk. This column argues that both the integrity and the legitimacy of macroprudential policy...
Systemic Risk and the Dynamics of Temporary Financial Networks
This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...
On K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
Stationary Markov Equilibria for Approximable Discounted Stochastic Games
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
Why it doesn't make sense to hold bonds
Investor demand for bonds is very high. This column argues that this is surprising because under almost any likely inflation scenario, including...
On the financial market consequences of Brexit
Brexit creates new opportunities and new risks for the British and EU financial markets. Both could benefit, but a more likely outcome is a fall in...
Cyber risk as systemic risk
The threat to the financial system posed by cyber risk is often claimed to be systemic. This column argues against this, pointing out that almost all...
Insurance and systemic risk: No easy conclusions
The IMF’s latest Global Financial Stability Report devotes for the first time a chapter to the systemic risks potentially associated with the...
Stress testing and macroprudential regulation: A transatlantic assessment
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...
Stress Testing and Macroprudential Regulation: A Transatlantic Assessment
This CEPR Press eBook presents the perspectives of policymakers, stress test designers and academics on the remarkable development of stress testing...
Everybody right, everybody wrong: Plural rationalities in macroprudential regulation
Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that...
Disaster and Fortune Risk in Asset Returns
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...
Tail Index Estimation: Quantile Driven Threshold Selection
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...