We offer a theory of financial contagion based on the information choice of investors after observing a financial crisis elsewhere. We study global coordination games of [...]

We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their increme[...]

We offer a model of financial intermediaries as safe-asset providers in an international context. Investors from countries exposed to expropriation risk seek to invest in[...]

We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock ma[...]

Using detailed information from the Canadian interbank payments system and liquidity-providing facilities, we find that despite sustained increases in market-rate spreads[...]

Matlab and Stata code for replication of "Crisis Management in Canada: Analyzing Default Risk and Liquidity Demand during Financial Stress." Data was provided under an N[...]

Financial systemic risk is often assessed by the interconnectedness of financial institutes (FI) in terms of cross-ownership, overlapping investment portfolios, interbank[...]

We examine the portfolio choice of banks in a micro-founded model of runs. To insure risk-averse investors against liquidity risk, competitive banks offer demand deposits[...]

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank’s privately optima[...]

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We prop[...]