The Determinants of Systemic Importance
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...
The Concept of Systemic Risk
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In...
Macroprudential oversight, risk communication and visualization
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data...
Simecs, Ithace Hours, Berkshares, Bitcoins and Walmarts
The practical and theoretical meaning of the rise and fall of new local and virtual currencies suggests that two basic theories of money both have...
What Happened in Cyprus? The Economic Consequences of the Last Communist Government in Europe
This paper reviews developments in the Cypriot economy following the introduction of the euro on 1 January 2008 and leading to the economic collapse...
Bitcoin and the PPP Puzzle
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...
Optimal Capital Growth with Convex Shortfall Penalties
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...
How Insurers Differ from Banks: A Primer on Systemic Regulation
This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation. It discusses key differences...
Custody Chains and Remoteness: Disconnecting Investors from Issuers
This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...
Rescues Violating the German Constitution: The Federal Court Decides on a Theory of Finance
The Federal German Constitutional Court has made it clear that it considers the OMT program to be in violation of the ECB’s mandate. This paper argues...
Moral Hazard and Debt Maturity
We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral...
Model risk and the implications for risk management, macroprudential policy, and financial regulations
Risk forecasting is central to financial regulations, risk management, and macroprudential policy. This column raises concerns about the reliance on...
Attracting investor attention through advertising
Review of Financial Studies, 27 (6). pp. 1797-1829.
How to lose money in derivatives: examples from hedge funds and bank trading departments
What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster...
The Economics of Collateral
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...
