The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...

We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...

The fiscal theory of the price level says that the price level can be made determinate if thegovernment uses fiscal policies such that government liabilities explode unless the price inthe first period is at the “right” level. The policy implications are disturbing, as they callfor rather...

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...

[...]We focus here on three types of capital ratios—riskweighted,leverage, and gross revenue ratios. For each ratio, weexamine what makes it actually or potentially useful for bankregulation and we ask whether it is indeed significantly relatedto subsequent bank failure. Perhaps not...

The paper evaluates the performance of three popular monetary policy rules when the central bank is learning aboutthe parameter values of a simple New Keynesian model. The three policies are: (1) the optimal non-inertial rule; (2)the optimal history-dependent rule; (3) the optimal price-level...