A Proposal for an Open-Source Financial Risk Model
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...
Discussion Papers
Risk Models-at-Risk
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...
Capital Structure and Investment Dynamics with Fire Sales
We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...
Walrasian Foundations for Equilibria in Segmented Markets
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...
Cyclical Adjustment of Capital Requirements: A Simple Framework
We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...
Market Quality and Contagion in Fragmented Markets
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...
Procyclical Leverage and Value-at-Risk
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...
