2016 Working Papers – Archive


Stress Testing in Wartime and in Peacetime
Til Schuermann – March 2016

Small Business Lending: Challenges and Opportunities for Community Banks
Julapa Jagtiani and Catharine Lemieux – March 2016

Equivalence of robust VaR and CVaR optimization
Somayyeh Lotfi and Stavros A. Zenios – April 2016

Gone with the wind: demographic transition and domestic saving
Eduardo Cavallo, Gabriel S├ínchez, Patricio Valenzuela – April 2016

Pricing sovereign contingent convertible debt
Andrea Consiglio, Michele Tumminello & Stavros A. Zenios – July 2016

Portfolio diversi cation in the sovereign credit swap markets
Andrea Consiglio, Somayyeh Lotfi & Stavros A. Zenios – July 2016

How to Reform the Credit-Rating Process to Support a Revival of Private-Label Securitization
Richard J. Herring, Edward J. Kane

Less Really Can be More: Why Simplicity & Comparability Should be Regulatory Objectives
Richard J. Herring

The Corporate Complexity of Global Systemically Important Banks
Jacopo Carmassi & Richard J. Herring