Papers & Reviews

  • 17 Noviembre 2017
The future of risk management in the digital era

McKinsey Report.

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  • 15 Noviembre 2017
A quantitative analysis of risk premia in the corporate bond market

Keywords: bond excess return, credit default swap, distress risk premium, expected default frequency, jump-at-default risk premium.

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  • 13 Noviembre 2017
What drives systemic bank risk in Europe: The balance sheet effect

Keywords: Systemic banking crisis, Systemic risk measurement, CoVaR, MES, Bank Balance Sheet, Macroprudential policy.

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  • 20 Octubre 2017
Optimal bank regulation in the presence of credit and run risk

Keywords: Bank Runs, Credit Risk, Limited Liability, Regulation, Capital, Liquidity.

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  • 18 Octubre 2017
Basel IRRBB regulation: A framework for managing interest rate risks

The new standards on Interest Rate Risk in the Banking Book (IRRBB).

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