New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-García [2007], Matilla-García and Marín [2008], Matilla-García and Marín [2009], and Matilla-García et al. [2010]). The main idea is to map m-histories of a time series onto...

We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...

In a recent paper Matilla-García and Marín (2010) propose a novel test to determine whether the dynamics of a time series are generated by a deterministic or a stochastic process. The results presented in the paper need some clarifications.

In a recent paper López et al. (2010) introduce a new test for spatial independence. The test is a generalization of tests developed in Matilla-García (2007) and Matilla-García and Marín (2008). The results derived need some clarification.

We propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. We model both asset correlations and interlinkages from interbank borrowing so that our analysis gauges two major sources of systemic risk: correlated exposures and mutual credit...

I discuss a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited...

We propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. We model both asset correlations and interlinkages from interbank borrowing so that our analysis gauges two major sources of systemic risk: correlated exposures and mutual credit...

A financial crisis leads to a debt overhang in the banking sector and subsequently to a credit crunch. In most cases, it is not possible to remedy this situation without economic policy measures. In this study, we use a uniform framework to analyze how banks in a crisis situation can be...