Simone Casellina, Gaetano Chionsini, Raphael M. Kopp and Maroua Riabi, “SYSTEMATIC BACKTESTING OF PROBABILITY OF DEFAULT MODELS WITH REGULATORY DATA”

European Banking Authority, Working Paper n° 24-4/2026

7 ore fa

Abstract: Internal ratings-based models play a central role in bank risk management and regulatory capital ...more »
Susanne Griebsch and Andreas Röthig, “Bivariate sudden stop analysis of equity and bond fund flows to emerging markets using isolation forest”

Deutsche Bundesbank, Working Paper n° 15/2026

7 ore fa

Abstract: This paper applies machine learning methods and anomaly detection to sudden stop analysis of portfolio flows. Using the ...more »
Boris Hofmann, Matthias Kaldorf and Matthias Rottner, “The macroeconomics of stablecoins”

Bank for International Settlements, Working Paper n° 1363

7 ore fa

Abstract: We analyse the macroeconomic impact of stablecoins using a quantitative macroeconomic model. Stablecoins influence the economy through two opposing channels: (i) a ...more »
Fan Dora Xia and Omar Zulaica, “Embracing carbon uncertainty in portfolio construction”

Bank for International Settlements, Working Paper n° 1362

 
7 ore fa

Abstract: We propose a framework for constructing fixed-income portfolios of sovereign bonds that integrates financial and environmental considerations. Central to our approach ...more »
Yuteng Cheng, Jonathan Chiu, Mohammad Davoodalhosseini and Janet Hua Jiang, “Data Externalities, Market Power, and the Optimal Design of Central Bank Digital Currencies”

Bank of Canada, Working paper n° 2026-21

7 ore fa

Abstract: We study the optimal design of a central bank digital currency (CBDC) in an economy where private ...more »
Thomas Lustenberger, Enzo Rossi and Anna Zeitz, “Central bank communication: New data and stylized facts from a century of Fed speeches”

Swiss National Bank, Working Paper n° 6/2026

7 ore fa

Abstract: Drawing on a novel dataset of more than 10,000 speeches from 1914 to 2024, we track the evolution of Federal Reserve communication ...more »
Walter Beckert, Peter Eccles and Paolo Siciliani, “Capital requirements and process innovation”

Bank of England, Working Paper n° 1,188

7 ore fa

Abstract: This paper investigates the relationship between the optimal level minimum capital requirements aimed at preventing moral hazard by banks and banks’ incentives to invest in ...more »
Negar Mohammadi Jazi and Felipe Netto, “Asymmetric information and capital regulation in SME lending:a structural model of bank and non-bank competition”

Bank of England, Working paper n° 1,191

7 ore fa

Abstract: We analyse how risk-based capital requirements shape competition and credit allocation in the UK unsecured Small and ...more »