Search Results

SORT BY: PREVIOUS / NEXT
Author:Pritsker, Matthew 

Conference Paper
Directionally similar position taking and herding by large futures market participants

Proceedings

Journal Article
Informational easing: improving credit conditions through the release of information

Economist Matthew Pritsker of the Board of Governors of the Federal Reserve System offers a theoretical view on how regulators can reduce uncertainty in the financial markets by improving the availability of information.
Economic Policy Review , Volume 16 , Issue Aug , Pages 77-87

Working Paper
Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction

Regulatory stress-testing is an important tool for ensuring banking system health in many countries around the world. Current methodologies ensure banks are well capitalized against the scenarios in the test, but it is unclear how resilient banks will be to other plausible scenarios. This paper proposes a new methodology for choosing scenarios that uses a measure of systemic risk with Correlation Pursuit variable selection, and Sliced Inverse Regression factor analysis, to select variables and create factors based on their ability to explain variation in the systemic risk measure. The main ...
Supervisory Research and Analysis Working Papers , Paper RPA 17-4

Working Paper
Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity

The growing share of financial assets that are held and managed by large institutional investors whose desired trades move asset prices is at odds with the traditional competitive assumption that investors are small and take prices as given. This paper relaxes the traditional price-taking assumption and instead presents a dynamic multiple asset model of imperfect competition in asset markets among large investors who differ in their risk aversion. The model is used to study asset price dynamics during an LTCM-like scenario in which market rumors of distressed asset sales are followed at a ...
Finance and Economics Discussion Series , Paper 2005-36

Working Paper
Improving grid-based methods for estimating value at risk of fixed-income portfolios

Jamshidian and Zhu (1997) propose a discrete grid method for simplifying the computation of Value at Risk (VaR) for fixed-income portfolios. Their method relies on two simplifications. First, the value of fixed income instruments is modeled as depending on a small number of risk factors chosen using principal components analysis. Second, they use a discrete approximation to the distribution of the portfolio's value. We show that their method has two serious shortcomings which imply it cannot accurately estimate VaR for some fixed-income portfolios. First, risk factors chosen using principal ...
Finance and Economics Discussion Series , Paper 2000-25

Working Paper
Reach for Yield by U.S. Public Pension Funds

This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds? risk-taking behavior, we first present a simple theoretical model relating risk-taking to the level of risk-free rates, to their underfunding, and to the fiscal condition of their state sponsors. The theory identifies two distinct channels through which interest rates and other factors may affect risk-taking: by altering plans? funding ratios, and by changing risk premia. The theory also shows the effect of state finances on funds? risk-taking ...
Supervisory Research and Analysis Working Papers , Paper RPA 19-2

Working Paper
Reach for Yield by U.S. Public Pension Funds

This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds?? risk-taking behavior, we first present a simple theoretical model relating risk-taking to the level of risk-free rates, to their underfunding, and to the fiscal condition of their state sponsors. The theory identifies two distinct channels through which interest rates and other factors may affect risk-taking: by altering plans?? funding ratios, and by changing risk premia. The theory also shows the effect of state finances on funds?? ...
Finance and Economics Discussion Series , Paper 2019-048

Working Paper
A rational expectations model of financial contagion

We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a financial market also increases its susceptibility to contagion. We focus on contagion through the cross-market hedging of macroeconomic risks. Through this channel, ...
Finance and Economics Discussion Series , Paper 1998-48

Conference Paper
The impacts of securitization on U.S. bank holding companies

Proceedings , Paper 1097

Working Paper
A fully-rational liquidity-based theory of IPO underpricing and underperformance

I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model, underwriters need to sell a fixed number of shares at the IPO or in the aftermarket. To maximize revenue and avoid selling into the aftermarket where they can be exploited by large investors, underwriters distort share allocations towards investors with market power, and set the IPO offer price below the ...
Finance and Economics Discussion Series , Paper 2006-12

FILTER BY year

FILTER BY Content Type

FILTER BY Author

Anadu, Kenechukwu E. 2 items

Bohn, James 2 items

Kodres, Laura E. 2 items

Lu, Lina 2 items

Zlate, Andrei 2 items

show more (3)

FILTER BY Jel Classification

E43 2 items

G11 2 items

G23 2 items

G32 2 items

H74 2 items

G21 1 items

show more (2)

FILTER BY Keywords

PREVIOUS / NEXT