On the financial market consequences of Brexit
Brexit creates new opportunities and new risks for the British and EU financial markets. Both could benefit, but a more likely outcome is a fall in...
Cyber risk as systemic risk
The threat to the financial system posed by cyber risk is often claimed to be systemic. This column argues against this, pointing out that almost all...
Insurance and systemic risk: No easy conclusions
The IMF’s latest Global Financial Stability Report devotes for the first time a chapter to the systemic risks potentially associated with the...
Stress testing and macroprudential regulation: A transatlantic assessment
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...
Disaster and Fortune Risk in Asset Returns
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...
Exchange Rates and Monetary Policy Uncertainty
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...
The Internationalization of the Renminbi
This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...
Resaleable debt and systemic risk
Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...
A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...
Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
The macro-micro conflict
There has always been conflict between macro- and microeconomic regulation. Microeconomic policy reigns supreme during good times, and macro during...
Parameterized Games, Minimal Nash Correspondences, and Connectedness
Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash...
Insecure Debt
We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium...
