• Returns under the lens: the importance of ESG factors

Ginestroni, Marazzina, Rosamilia “Returns under the lens: the role of ESG factors in return forecasting”
4 ore fa

The growing relevance of sustainable finance has led investors, financial institutions and regulators to pay increasing attention to the information content of ESG variables. The article Returns under the lens: the importance of ESG factors, ...more »
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

5 giorni 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

5 giorni 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

5 giorni 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

 
5 giorni 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

5 giorni 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

5 giorni 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

5 giorni 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 »