Financial Risk
- Acharya, Viral and Lasse Pedersen, “Economics with Market Liquidity Risk,” forthcoming, Critical Financial Review.
- Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Whatever It Takes: The Real Effects of Unconventional Monetary Policy,” Review of Financial Studies, 2019, 32(9): 3366-3411.
- Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Real Effects of the Sovereign Debt Crises in Europe: Evidence from Syndicated Loans,” Review of Financial Studies, 2018, 31(8), 2855-2896.
- Acharya, Viral, Aaditya Iyer, and Rangarajan Sundaram. “Risk-Sharing and the Creation of Systemic Risk,” Working Paper, 2016.
- Adler, Barry, "The Creditors’ Bargain Revisited," 166 U. Pa. L. Rev. 1853 (2018)
- Adler, Barry and George Triantis, "Debt Priority and Options in Bankruptcy: A Policy Intervention," 91 Am. Bankr. L.J. 563 (2017)
- Altman, Edward, and Małgorzata Iwanicz‐Drozdowska, Erkki K. Laitinen, and Arto Suvas, “Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman’s Z-Score Model,” Journal of International Financial Management and Accounting, 2016.
- Altman, Edward and Brenda J. Kuehne, “Credit Markets and Bubbles: Is the Benign Credit Cycle Over?” Economics and Business Review, No. 3, 2016.
- Berner, Richard, “The Macroprudential Toolkit,” in Hartmann, P., H. Huang and D. Schoenmaker (eds.) (2018), The Changing Fortunes of Central Banking, Cambridge University Press, Cambridge, UK.
- Berner, Richard and Kathryn Judge, “The Data Standardization Challenge,” in Systemic Risk in the Financial Sector: Ten Years After the Great Crash, edited by Douglas W. Arner, Emilios Avgouleas, Danny Busch and Steven L. Schwarcz (CIGI Press, 2019)
- Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Lowering the bar on financial regulation is fraught with risk,” American Banker, June 27, 2019.
- Berner, Richard, Stephen Cecchetti, Kermit Schoenholtz “Stress Testing Networks: The Case of Central Counterparties,” NBER Working Paper No. 25686, March 2019.
- Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Here’s how the SEC should decide if companies should report earnings only every 6 months,” MarketWatch, March 16, 2019.
- Carr, Peter and Liuren Wu, "Option Profit and Loss Attribution and Pricing: A New Framework," forthcoming, Journal of Finance.
- Carr, Peter and Liuren Wu, “Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions,” Journal of Financial and Quantitative Analysis, 2017.
- Dhar, Vasant, Tomer Geva, Gal Oestreicher-Singer, and Arun Sundararajan, “Prediction in Economic Networks,” Information Systems Research, Volume 25, Issue 2, June 2014.
- Dhar, Vasant, “Prediction and Data Science,” Communications of the ACM, volume 56, number 12, December 2013.
- Engle, Robert, and Tianyue Ruan. "Measuring the probability of a financial crisis." Proceedings of the National Academy of Sciences 116.37 (2019): 18341-18346.
- Engle, Robert, “Systemic Risk 10 Years Later,” Annual Review of Financial Economics (2018), Vol. 10:125-152.
- Engle, Robert, and Christian Brownlees, “SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement,” Review of Financial Studies (2017), Volume 30, Issue 1, Pages 48-79.
- Halaburda, Hanna, and Neil Gandal, “Can We Predict the Winner in a Market with Network Effects? Competition in Cryptocurrency Market,” Games 2016, 7(3), 16.
- Halaburda, Hanna, Mikołaj Jan Piskorski, and Pınar Yıldırım. "Competing by Restricting Choice: The Case of Matching Platforms," Management Science 64, no. 8 (2017): 3574-3594.
- King, Lord Mervyn, The End of Alchemy: Money, Banking and the Future of the Global Economy, W.W Norton and Company Inc., 2016.
- Kolm, Petter N., Reha Tütüncü, and Frank J. Fabozzi. "60 Years of portfolio optimization: Practical challenges and current trends." European Journal of Operational Research 234.2 (2014): 356-371.
- Kolm, Petter and Gordon Ritter, “Dynamic Replication and Hedging: A Reinforcement Learning Approach,” The Journal of Financial Data Science. Winter 2019, 1 (1) 159-171.
- Kolm, Petter and Gordon Ritter, “On the Bayesian Interpretation of Black-Litterman,” European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572.
- Kolm, Petter and Gordon Ritter, “Multiperiod Portfolio Selection and Bayesian Dynamic Models,” Risk, Vol. 28, Issue 3, p 50-54, March 2015.
- Miller, Geoffrey Parsons, “The Law of Governance, Risk Management, and Compliance,” (Wolters Kluwer 3d ed., 2020; 2d., 2017; 1st ed., 2014).
- Miller, Geoffrey Parsons, “Trust, Risk, and Moral Hazard in Financial Markets” (Il Mulino 2011).
- Miller, Geoffrey Parsons, “The Rise of Risk Management: An Essay in Honor of Peter Nobel,” in Peter Sester, ed., Liber Amicorum Peter Nobel (2015).
- Philippon, Thomas, Viral Acharya, Lasse Pedersen, and Matthew Richardson “Measuring Systemic Risk,” Review of Financial Studies, 2017.
- Richardson, Matthew, "Regulating Wall Street: The Dodd-Frank Act," Economic Perspectives, Federal Reserve Bank of Chicago, 2012, 36: 85-97.
- Subrahmanyam, Marti, Patrick Augustin, and Menachem Brenner, “Informed Options Trading Prior to Takeover Announcements: Insider Trading?” Management Science. May 2019.
- Schoenholtz, Kermit, Stephen Cecchetti, Michael Feroli, Peter Hooper, and Anil Kashyap, "Deflating Inflation Expectations: The Implications of Inflation's Simple Dynamics". Presented at the US Monetary Policy Forum (March 2017).
- Walter, Ingo, “Reputational Risk in Large International Banks,” in Federal Reserve Bank of Chicago, Regulatory Issues in Large International Banks (Cambridge, MIT Press, 2017).
- White, Lawrence J., and Howard Esaki, “Rating Mortgage-Backed Securities: How to End the Race to the Bottom,” Milken Institute Review, Third Quarter 2017.
- White, Lawrence, Matthew Richardson and Stijn Van Nieuwerburgh, “What to Do about the GSEs?” Annual Review of Financial Economics, 2017.
- Whitelaw, Robert, Turan Bali, and Nusret Cakici, “Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?”, 2014, Review of Asset Pricing Studies, Vol. 4, No. 2, pp. 206-246.
- Xu, Yuqian, Lingjiong Zhu, and Michael Pinedo, "Operational Risk Management - A Stochastic Control Framework with Preventive and Corrective Controls" forthcoming, Operations Research.
- Zin, Stanley, David K. Backus, and Axelle Ferriere, “Risk and Ambiguity in Models of Business Cycles,” Journal of Monetary Economics, January 2015 (Carnegie Rochester Conference on Public Policy).