Papers & Reviews

  • 01 Septiembre 2017
How to Predict Financial Stress? An Assessment of Markov Switching Models

Bank topics: Business fluctuations and cycles; Central bank research; Econometric and statistical methods; Financial markets; Financial stability; Financial system regulation and policies; Monetary and financial indicators.

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  • 16 Agosto 2017
The interplay of accounting and regulation and its impact on bank behaviour

Identify ways in which the interaction between accounting and regulatory rules provides incentives that affect the risk taking of financial institutions.

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  • 28 Julio 2017
The TIPS Liquidity Premium

Keywords: term structure modelling, liquidity risk, financial market frictions.

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  • 23 Junio 2017
Where is the risk?

The forward premium bias, the carry-trade premium, and risk-reversals in general equilibrium.

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  • 14 Junio 2017
A practical guide to market risk model validations

What are the most common modeling issues in market risk management, and which validation techniques are the most popular?

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