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Forward-looking asset correlations in the estimation of economic capital

Chamizo, Álvaro; Fonollosa, Alexandre; Novales, Alfonso - In: Journal of international financial markets, … 61 (2019), pp. 264-288

Persistent link: https://www.econbiz.de/10012128297

Looking through systemic credit risk : determinants, stress testing and market value

Chamizo, Álvaro; Novales, Alfonso - In: Journal of international financial markets, … 64 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012495683

Credit growth, rational bubbles and economic efficiency

Freixas, Xavier - In: Comparative economic studies 60 (2018) 1, pp. 87-104

Persistent link: https://www.econbiz.de/10012172160

Systemic risk and prudential regulation in the global economy

Freixas, Xavier - In: Globalization and systemic risk, (pp. 145-167). 2008

Persistent link: https://www.econbiz.de/10003817405

The gilded bubble buffer

Freixas, Xavier; Perez-Reyna, David - 2017

Persistent link: https://www.econbiz.de/10011896288

Banking, finance, and the role of the state

Freixas, Xavier; Mayer, Colin P. - In: Oxford review of economic policy 27 (2011) 3, pp. 397-410

Persistent link: https://www.econbiz.de/10009577896

Taming systemically important financial institutions

Freixas, Xavier; Rochet, Jean-Charles - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 37-58

Persistent link: https://www.econbiz.de/10010222573

Systemic risk, crises, and macroprudential regulation

Freixas, Xavier; Laeven, Luc; Peydró, José-Luis - 2015

Persistent link: https://www.econbiz.de/10012008480

Looking Through Systemic Risk : Determinants, Stress Testing and Market Value

Chamizo, Alvaro - 2016

We provide a methodology to estimate a global credit risk factor (GRF) from CDS spreads. The estimated factor contains higher explanatory power on CDS spread fluctuations across sectors than standard credit indices like iTraxx or CDX. We find a positive association between the GRF and implied...

Persistent link: https://www.econbiz.de/10012982592

The Gilded Bubble Buffer and Optimal Macroprudential Policy

Freixas, Xavier - 2020

We provide a microfounded framework for the welfare analysis of macroprudential policy within a model of rational bubbles. For this we posit an overlapping generation model where productivity and credit supply are subject to random shocks. We find that when real interest rates are lower than the...

Persistent link: https://www.econbiz.de/10012846053