Papers & Reviews

  • 18 Agosto 2017
Assessing the cyclical implications of IFRS 9: a recursive model

Calibración y modelo con riesgo agregado.

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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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  • 14 Agosto 2017
Systemic financial sector and sovereign risks

Keywords: financial stability; sovereign risk; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas.

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  • 11 Agosto 2017
Investment commonality across insurance companies: Fire sale risk and corporate yield spreads

Keywords: yield spread, fire sales, regulation, credit rating, corporate bonds, insurance companies, capital constraints.

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  • 09 Agosto 2017
Measuring international uncertainty: the case of Korea

Keywords: Uncertainty, Stochastic volatility, Business cycle, Korean economy, Data rich environment.

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