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...
Shadow Banks and Systemic Risks
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...
Exchange Rates and Monetary Policy Uncertainty
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...
The Internationalization of the Renminbi
This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...
Resaleable debt and systemic risk
Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...
A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...
Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
