Discussion Papers

Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...

What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

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

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...

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

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

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...

We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...