Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A sampling-window approach to transactions-based Libor fixing |
0 |
0 |
0 |
16 |
0 |
1 |
2 |
72 |
Across-the-Curve Credit Spread Indices |
0 |
0 |
0 |
3 |
1 |
1 |
3 |
23 |
Affine Processes and Application in Finance |
0 |
0 |
2 |
422 |
0 |
0 |
3 |
1,370 |
Augmenting Markets with Mechanisms |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
50 |
Augmenting Markets with Mechanisms |
0 |
0 |
0 |
25 |
0 |
1 |
3 |
54 |
Augmenting Markets with Mechanisms |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
16 |
Bank Funding Risk, Reference Rates, and Credit Supply |
0 |
0 |
1 |
2 |
0 |
1 |
3 |
4 |
Bank Funding Risk, Reference Rates, and Credit Supply |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
23 |
Bank Funding Risk, Reference Rates, and Credit Supply |
1 |
1 |
3 |
33 |
1 |
2 |
13 |
87 |
Benchmarks in Search Markets |
0 |
0 |
0 |
8 |
0 |
1 |
2 |
88 |
Benchmarks in Search Markets |
0 |
0 |
0 |
9 |
1 |
1 |
1 |
39 |
Benchmarks in Search Markets |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
154 |
Capital Mobility and Asset Pricing |
0 |
0 |
0 |
55 |
0 |
0 |
2 |
199 |
Capital Mobility and Asset Pricing |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
74 |
Capital Mobility and Asset Pricing |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
104 |
Central Clearing and Collateral Demand |
0 |
0 |
0 |
8 |
0 |
1 |
3 |
89 |
Central Clearing and Collateral Demand |
0 |
0 |
0 |
26 |
0 |
1 |
1 |
144 |
Central clearing and collateral demand |
0 |
0 |
0 |
38 |
0 |
1 |
2 |
258 |
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs |
0 |
0 |
0 |
15 |
1 |
1 |
3 |
62 |
Common Failings: How Corporate Defaults are Correlated |
0 |
0 |
1 |
160 |
1 |
1 |
3 |
548 |
Compression Auctions With an Application to LIBOR-SOFR Swap Conversion |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
18 |
Corporate Credit Risk Premia |
0 |
0 |
1 |
46 |
0 |
0 |
3 |
107 |
Corporate Credit Risk Premia |
0 |
0 |
1 |
28 |
0 |
0 |
3 |
68 |
Dealer Capacity and U.S. Treasury Market Functionality |
0 |
0 |
0 |
17 |
0 |
1 |
7 |
24 |
Dealer capacity and US Treasury market functionality |
0 |
0 |
0 |
5 |
2 |
2 |
10 |
18 |
Dynamic Directed Random Matching |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
44 |
Dynamic Directed Random Matching |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
62 |
Dynamic Directed Random Matching |
0 |
0 |
0 |
29 |
0 |
1 |
2 |
49 |
Financial Market Infrastructure: Too Important to Fail |
0 |
1 |
2 |
40 |
0 |
1 |
5 |
111 |
Financial Regulatory Reform after the Crisis: An Assessment |
0 |
0 |
0 |
57 |
0 |
0 |
3 |
134 |
Frailty Correlated Default |
0 |
0 |
1 |
38 |
0 |
0 |
3 |
256 |
Funding Value Adjustments |
0 |
0 |
1 |
18 |
0 |
0 |
4 |
67 |
Funding Value Adjustments |
0 |
0 |
0 |
30 |
0 |
0 |
5 |
114 |
How Abundant Are Reserves? Evidence from the Wholesale Payment System |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
18 |
How Abundant Are Reserves? Evidence from the Wholesale Payment System |
0 |
0 |
0 |
11 |
0 |
1 |
2 |
8 |
How Abundant Are Reserves? Evidence from the Wholesale Payment System |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
14 |
How abundant are reserves? Evidence from the wholesale payment system |
0 |
0 |
1 |
23 |
0 |
2 |
5 |
23 |
How the LIBOR Transition Affects the Supply of Revolving Credit |
2 |
2 |
6 |
40 |
3 |
5 |
16 |
82 |
Information Percolation |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
107 |
Information Percolation in Segmented Markets |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
67 |
Information Percolation in Segmented Markets |
0 |
0 |
2 |
29 |
0 |
0 |
2 |
126 |
Information Percolation with Equilibrium Search Dynamics |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
117 |
Innovations in credit risk transfer: implications for financial stability |
0 |
2 |
3 |
364 |
0 |
4 |
9 |
1,019 |
Interoperable Payment Systems and the Role of Central Bank Digital Currencies |
0 |
0 |
0 |
65 |
0 |
0 |
1 |
95 |
Large Portfolio Losses |
0 |
1 |
1 |
139 |
0 |
1 |
2 |
309 |
Liquidation Risk |
0 |
0 |
5 |
98 |
0 |
0 |
8 |
516 |
Liquidity Premia in Dynamic Bargaining Markets |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
143 |
Market Fragmentation |
0 |
0 |
0 |
13 |
0 |
0 |
2 |
31 |
Market Fragmentation |
1 |
1 |
2 |
29 |
2 |
5 |
8 |
81 |
Market-Function Asset Purchases |
0 |
0 |
0 |
13 |
0 |
2 |
4 |
11 |
Measuring Default Risk Premia from Default Swap Rates and EDFs |
0 |
0 |
0 |
64 |
0 |
1 |
3 |
293 |
Measuring default risk premia from default swap rates and EDFs |
0 |
0 |
1 |
106 |
0 |
1 |
2 |
480 |
Multi-Period Corporate Default Prediction With Stochastic Covariates |
0 |
0 |
0 |
60 |
0 |
0 |
1 |
204 |
Multi-Period Corporate Default Prediction With Stochastic Covariates |
0 |
0 |
0 |
171 |
0 |
1 |
9 |
538 |
Multi-Period Corporate Default Prediction With Stochastic Covariates |
0 |
1 |
1 |
30 |
0 |
3 |
4 |
134 |
Multi-Period Corporate Failure Prediction With Stochastic Covariates |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
333 |
Multi-Period Corporate Failure Prediction With Stochastic Covariates |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
226 |
Multi-Period Corporate Failure Prediction with Stochastic Covariates |
0 |
0 |
0 |
192 |
2 |
2 |
2 |
688 |
Over the Counter Search Frictions: A Case Study of the Federal Funds Market |
0 |
0 |
1 |
59 |
0 |
0 |
3 |
139 |
Over-the-Counter Markets |
0 |
0 |
0 |
217 |
0 |
0 |
1 |
756 |
Policy Perspectives on OTC Derivatives Market Infrastructure |
0 |
0 |
1 |
37 |
0 |
0 |
2 |
119 |
Policy perspectives on OTC derivatives market infrastructure |
0 |
0 |
0 |
81 |
0 |
0 |
1 |
192 |
Reforming LIBOR and Other Financial-Market Benchmarks |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
71 |
Report on “The Committee on Yen Risk-free-rate Model Estimation†|
0 |
0 |
0 |
12 |
1 |
1 |
1 |
120 |
Reserves Were Not So Ample After All |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
20 |
Reserves Were Not So Ample After All |
0 |
0 |
1 |
21 |
4 |
8 |
17 |
93 |
Reserves Were Not So Ample after All |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
7 |
Resolution of Failing Central Counterparties |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
65 |
Robust Benchmark Design |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
87 |
Robust Benchmark Design |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
48 |
Simulated Moments Estimation of Markov Models of Asset Prices |
0 |
0 |
0 |
112 |
0 |
0 |
4 |
488 |
Size Discovery |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
23 |
Size Discovery |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
57 |
Systemic Risk Exposures: A 10-by-10-by-10 Approach |
0 |
0 |
1 |
59 |
1 |
1 |
4 |
126 |
The Consumption-Based Capital Asset Pricing Model |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
643 |
The Exact Law of Large Numbers for Independent Random Matching |
0 |
0 |
0 |
38 |
0 |
1 |
2 |
128 |
The Exact Law of Large Numbers for Independent Random Matching |
0 |
0 |
0 |
138 |
1 |
1 |
3 |
472 |
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
62 |
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
63 |
The failure mechanics of dealer banks |
0 |
0 |
0 |
64 |
0 |
0 |
1 |
285 |
Transform Analysis and Asset Pricing for Affine Jump-Diffusions |
0 |
2 |
2 |
1,617 |
0 |
3 |
10 |
3,064 |
Valuation in Dynamic Bargaining Markets |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
217 |
Valuation in Dynamic Bargaining Markets |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
125 |
Valuation in Over-the-Counter Markets |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
229 |
Valuation in Over-the-Counter Markets |
0 |
0 |
0 |
136 |
0 |
0 |
0 |
484 |
What Quantity of Reserves Is Sufficient? |
0 |
0 |
3 |
67 |
1 |
1 |
17 |
316 |
Total Working Papers |
4 |
11 |
44 |
5,665 |
23 |
64 |
270 |
18,692 |
Journal Article |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Liquidity-Based Model of Security Design |
0 |
0 |
0 |
1 |
2 |
4 |
15 |
1,128 |
A YIELD‐FACTOR MODEL OF INTEREST RATES |
2 |
4 |
13 |
308 |
2 |
7 |
28 |
866 |
A term structure model with preferences for the timing of resolution of uncertainty (*) |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
200 |
Across‐the‐Curve Credit Spread Indices |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
5 |
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group |
0 |
0 |
0 |
47 |
0 |
0 |
1 |
164 |
An Econometric Model of the Term Structure of Interest-Rate Swap Yields |
0 |
0 |
6 |
782 |
0 |
2 |
11 |
1,619 |
An extension of the Black-Scholes model of security valuation |
0 |
0 |
0 |
205 |
0 |
0 |
2 |
470 |
Analytical value-at-risk with jumps and credit risk |
0 |
0 |
0 |
416 |
0 |
1 |
7 |
1,024 |
Arrow and General Equilibrium Theory |
0 |
0 |
1 |
201 |
2 |
3 |
21 |
490 |
Asset Pricing with Heterogeneous Consumers |
0 |
0 |
5 |
1,271 |
0 |
1 |
13 |
3,008 |
Asset Pricing with Stochastic Differential Utility |
0 |
0 |
3 |
419 |
1 |
3 |
8 |
955 |
Augmenting Markets with Mechanisms |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
11 |
Bank Funding Risk, Reference Rates, and Credit Supply |
0 |
1 |
8 |
8 |
2 |
9 |
29 |
29 |
Benchmarks in Search Markets |
0 |
0 |
3 |
29 |
0 |
1 |
8 |
123 |
Black, Merton and Scholes — Their Central Contributions to Economics |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
9 |
Capital Mobility and Asset Pricing |
0 |
0 |
0 |
67 |
0 |
0 |
2 |
364 |
Central clearing and collateral demand |
0 |
1 |
3 |
110 |
0 |
3 |
13 |
391 |
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs |
0 |
0 |
1 |
7 |
0 |
0 |
3 |
39 |
Comment |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
27 |
Common Failings: How Corporate Defaults Are Correlated |
0 |
0 |
4 |
100 |
0 |
0 |
9 |
476 |
Competitive equilibria in general choice spaces |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
44 |
Continuous-time security pricing: A utility gradient approach |
0 |
0 |
3 |
363 |
0 |
0 |
5 |
609 |
Corporate Credit Risk Premia |
0 |
0 |
3 |
4 |
0 |
0 |
8 |
14 |
Corporate Incentives for Hedging and Hedge Accounting |
0 |
0 |
0 |
822 |
0 |
1 |
12 |
2,601 |
Corporate financial hedging with proprietary information |
1 |
1 |
2 |
376 |
1 |
1 |
3 |
849 |
Credit Swap Valuation |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
Credit risk modeling with affine processes |
0 |
0 |
0 |
138 |
0 |
2 |
4 |
327 |
Does a Central Clearing Counterparty Reduce Counterparty Risk? |
0 |
1 |
5 |
35 |
1 |
2 |
12 |
147 |
Dynamic directed random matching |
0 |
0 |
0 |
11 |
0 |
1 |
4 |
75 |
Efficient and equilibrium allocations with stochastic differential utility |
0 |
1 |
2 |
98 |
0 |
1 |
11 |
188 |
Equilibrium in incomplete markets: I: A basic model of generic existence |
0 |
1 |
4 |
228 |
1 |
4 |
13 |
418 |
Equilibrium in incomplete markets: II: Generic existence in stochastic economies |
0 |
0 |
1 |
113 |
0 |
0 |
1 |
216 |
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals |
0 |
0 |
0 |
134 |
0 |
0 |
0 |
474 |
Explaining the U.S. tri-party repo market |
0 |
0 |
1 |
95 |
0 |
1 |
9 |
280 |
Financial Market Innovation and Security Design: An Introduction |
0 |
0 |
5 |
429 |
2 |
2 |
11 |
882 |
Financial Regulatory Reform After the Crisis: An Assessment |
0 |
0 |
4 |
40 |
0 |
2 |
12 |
94 |
Floating–Fixed Credit Spreads |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Frailty Correlated Default |
0 |
1 |
4 |
46 |
3 |
5 |
17 |
288 |
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 |
0 |
1 |
1 |
22 |
0 |
2 |
5 |
91 |
Funding Value Adjustments |
0 |
0 |
2 |
19 |
0 |
0 |
5 |
105 |
Hedging in incomplete markets with HARA utility |
0 |
0 |
0 |
235 |
0 |
1 |
2 |
439 |
How US Treasuries Can Remain the World's Safe Haven |
0 |
3 |
3 |
3 |
0 |
6 |
6 |
6 |
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities |
0 |
0 |
4 |
230 |
1 |
1 |
7 |
624 |
Incomplete security markets with infinitely many states: An introduction |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
109 |
Information Percolation |
0 |
0 |
0 |
44 |
1 |
1 |
7 |
195 |
Information Percolation With Equilibrium Search Dynamics |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
204 |
Information Percolation in Large Markets |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
239 |
Information percolation in segmented markets |
0 |
0 |
2 |
16 |
0 |
1 |
6 |
133 |
Is there a case for banning short speculation in sovereign bond markets? |
0 |
1 |
4 |
43 |
0 |
1 |
9 |
181 |
Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy |
0 |
0 |
3 |
10 |
0 |
3 |
12 |
22 |
Large portfolio losses |
0 |
0 |
0 |
14 |
0 |
2 |
3 |
121 |
Liquidation Risk |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
3 |
Market Fragmentation |
1 |
2 |
3 |
40 |
2 |
4 |
9 |
157 |
Market Pricing of Deposit Insurance |
0 |
1 |
1 |
78 |
0 |
1 |
1 |
193 |
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt |
0 |
1 |
6 |
252 |
0 |
3 |
11 |
699 |
Modeling Term Structures of Defaultable Bonds |
0 |
0 |
0 |
3 |
5 |
15 |
47 |
2,266 |
Multi-period corporate default prediction with stochastic covariates |
1 |
5 |
8 |
301 |
3 |
10 |
24 |
849 |
Multiperiod security markets with differential information: Martingales and resolution times |
0 |
0 |
1 |
103 |
0 |
0 |
4 |
204 |
Optimal Investment With Undiversifiable Income Risk |
1 |
1 |
2 |
93 |
1 |
3 |
9 |
208 |
Optimal hedging and equilibrium in a dynamic futures market |
0 |
0 |
2 |
180 |
0 |
0 |
5 |
367 |
Over-the-Counter Markets |
0 |
2 |
8 |
397 |
0 |
15 |
35 |
1,406 |
PDE solutions of stochastic differential utility |
1 |
2 |
4 |
234 |
2 |
4 |
18 |
441 |
Preface to the Special Issue on Systemic Risk: Models and Mechanisms |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
41 |
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital |
1 |
1 |
7 |
78 |
1 |
5 |
19 |
329 |
Pricing continuously resettled contingent claims |
0 |
0 |
0 |
31 |
0 |
0 |
2 |
89 |
Prone to Fail: The Pre-crisis Financial System |
0 |
0 |
1 |
31 |
0 |
1 |
2 |
137 |
Reforming LIBOR and Other Financial Market Benchmarks |
0 |
0 |
2 |
89 |
0 |
1 |
11 |
313 |
Replumbing Our Financial System: Uneven Progress |
0 |
0 |
1 |
20 |
2 |
3 |
6 |
154 |
Reprint of: Information percolation in segmented markets |
0 |
0 |
1 |
11 |
0 |
1 |
5 |
70 |
Reserves Were Not So Ample After All* |
0 |
4 |
4 |
4 |
7 |
21 |
21 |
21 |
Risk and Valuation of Collateralized Debt Obligations |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
4 |
Robust benchmark design |
0 |
0 |
1 |
11 |
0 |
1 |
5 |
43 |
Securities lending, shorting, and pricing |
0 |
0 |
6 |
391 |
0 |
2 |
20 |
962 |
Simulated Moments Estimation of Markov Models of Asset Prices |
1 |
1 |
2 |
650 |
1 |
1 |
7 |
1,694 |
Size Discovery |
0 |
0 |
1 |
11 |
0 |
0 |
3 |
67 |
Special Repo Rates |
0 |
1 |
5 |
633 |
7 |
22 |
47 |
2,246 |
Stationary Markov Equilibria |
0 |
0 |
0 |
273 |
0 |
0 |
1 |
902 |
Stochastic Differential Utility |
1 |
1 |
3 |
747 |
1 |
3 |
10 |
1,587 |
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
134 |
Stochastic equilibria with incomplete financial markets |
0 |
0 |
1 |
117 |
0 |
0 |
2 |
216 |
Swap Rates and Credit Quality |
0 |
0 |
4 |
322 |
0 |
2 |
10 |
1,017 |
Systemic Illiquidity in the Federal Funds Market |
0 |
0 |
2 |
135 |
0 |
1 |
3 |
399 |
Term Structures of Credit Spreads with Incomplete Accounting Information |
0 |
0 |
0 |
2 |
1 |
4 |
14 |
1,068 |
The Consumption-Based Capital Asset Pricing Model |
0 |
0 |
4 |
733 |
0 |
1 |
6 |
2,042 |
The Decline of Too Big to Fail |
2 |
6 |
9 |
9 |
6 |
24 |
34 |
34 |
The Failure Mechanics of Dealer Banks |
0 |
1 |
2 |
138 |
0 |
1 |
7 |
474 |
The New Palgrave: Finance: A book review |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
101 |
The Squam Lake Report: Fixing the Financial System |
0 |
1 |
1 |
193 |
0 |
3 |
6 |
797 |
The exact law of large numbers for independent random matching |
1 |
1 |
2 |
27 |
1 |
2 |
5 |
189 |
The relative contributions of private information sharing and public information releases to information aggregation |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
103 |
Transactions costs and portfolio choice in a discrete-continuous-time setting |
0 |
0 |
1 |
247 |
0 |
1 |
7 |
439 |
Transform Analysis and Asset Pricing for Affine Jump-Diffusions |
0 |
0 |
0 |
3 |
0 |
1 |
18 |
1,544 |
Universal state prices and asymmetric information |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
118 |
Valuation in Over-the-Counter Markets |
0 |
0 |
1 |
63 |
0 |
1 |
5 |
289 |
Total Journal Articles |
13 |
47 |
197 |
14,503 |
60 |
238 |
814 |
45,790 |