Discussion Papers

Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...

European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...

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

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

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...

Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...

This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that...

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

At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required...