Nº 20-86: A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk
W. Farkas, F. Fringuellotti, R. Tunaru
Working Papers
12 Oct. 2020
Nº 20-85: Crash-sensitive Kelly Strategy Built on a Modified Kreuser-Sornette Bubble Model Tested over three Decades of Twenty Equity Indices
D. Sornette, J.-C. Gerlach, J. Kreuser
Working Papers
9 Oct. 2020
Nº 20-84: Artificial Intelligence and High-Skilled Work: Evidence from Analysts
R. Michaely, J. Grennan
Working Papers
7 Oct. 2020
Nº 20-83: The Demise of Branch Banking Technology, Consolidation, Bank Fragility
S. Ongena, J. Keil
Working Papers
6 Oct. 2020
Nº 20-82: Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
P. Gagliardini, O. Scaillet, D. Ardia, L. Barras
Working Papers
18 Sept. 2020
Nº 20-81: Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?
E. Cötelioglu
Working Papers
17 Sept. 2020
Nº 20-80: Illiquidity and Higher Cumulants
S. Malamud, S. Glebkin, A. Teguia
Working Papers
15 Sept. 2020
Nº 20-79: A Deep Learning Approach to Estimate Forward Default Intensities
M. Divernois
Working Papers
14 Sept. 2020
Nº 20-78: Trapped in the "Zero-Risk" Society and how to Break Free
D. Sornette, P. Cauwels
Working Papers
1 Sept. 2020
Nº 20-77: Connected Banks and Economic Policy Uncertainty
S. Ongena, H. Cheng, K. Gawande, S. Qi
Working Papers
31 Aug. 2020
Nº 20-76: Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage
A. Pankratov
Working Papers
29 Aug. 2020
Nº 20-75: CEO Incentives and Bank Risk over the Business Cycle
S. Ongena, T. Savaser, E. S. Ciamarra
Working Papers
28 Aug. 2020
Nº 20-74: How Market Intervention can Prevent Bubbles and Crashes
D. Sornette, R. Westphal
Working Papers
27 Aug. 2020
Nº 20-73: Ambiguity, Optimal Currency Overlay, and Home Currency Bias
U. Ulrych, N. Vasiljevic
Working Papers
26 Aug. 2020
Nº 20-72: To Be or Not to Be? The Questionable Benefits of Mutual Clearing Agreements for Derivatives
M. Tywoniuk
Working Papers
25 Aug. 2020