Solvency II: Three principles to respect
The European legislation on prudential rules for insurance companies (Solvency II) is set for a final decision. It will be of fundamental importance...
Chasing trends is a dangerous game
Big investors currently pursue two very different strategies when appointing external managers. Their traditional approach is to hire fund managers...
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...
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...
Political challenges of the macroprudential agenda
Central banks frequently lead the macroprudential policy implementation. The hope is that their credibility in conquering inflation might rub off on...
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...
Global Financial Systems: Stability and Risk
The book uses economic theory, finance, mathematical modelling, risk theory, and policy to posit a comprehensive, coherent and current economic...
Anticipated and repeated shocks in liquid markets
Review of Financial Studies, 26 (8). pp. 1891-1912.
Bond market clienteles, the yield curve, and the optimal maturity structure of government debt
Review of Financial Studies, 26 (8). pp. 1914-1961.
Trading frenzies and their impact on real investment
Journal of Financial Economics, 109 (2). pp. 566-582.
Momentum investing is bad for your wealth
Managers should focus on companies, not prices, says Paul Woolley.
U.K. Monetary Policy: Observations on its Theory and Practice
In a dramatic change from the euphoria in the early 2000s based on a widespread belief in the “success” of the partial independence of the Bank of...
Macro-Modelling, Default and Money
Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...
Can Regulation, Supervision & Surveillance save Euroland
The lesson that regulation and supervision of banks and financial markets must improve has now at last become conventional wisdom among politicians in...
Too Big to Fail in Banking: What does this mean?
Interest in TBTF resolutions of insolvent large complex firms has intensified in recent years, particularly in banking. TBTF resolutions protect some...
Mortgage Hedging in Fixed Income Markets
We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from...
