Publications

Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains...

September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...

The Review of Financial Studies, 31 (9), 3532-3567

Journal of Economic Theory, Volume 177, Pages 558-593.

Econometrica, 86 (5), 1727-1769. 

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

Journal of Finance, 74 (4), 1713-1750. 

We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...

The Review of Financial Studies, 31 (8), 3019-3060

Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and...

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...

The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.

Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...

Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?

Journal of Financial Economics, 128 (2), 207-233