Publications

We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...

The Review of Financial Studies, 31 (8), 3019-3060

Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and...

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...

The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.

Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...

Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?

Journal of Financial Economics, 128 (2), 207-233

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

Technology changes society. Financial services and their regulation is not immune from this. Indeed, distributed ledger technology and artificial...

We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...

We show that Eastern Orthodox believers are less happy compared to those of Catholic and Protestant faith using data covering more than 100 countries...