Banking
Javier Ojea Ferreiro, Andrea Ugolini and Juan C. Reboredo, “Artificial Intelligence and Financial Tail Risks”
Bank of Canada, Working paper n° 2026-40
Posted in: Articolo
Ott
30
2026
Abstract: Artificial intelligence (AI) has a double-edged relationship with financial stability: it may improve efficiency and risk management, while also creating new vulnerabilities and amplification channels. This paper studies whether market-perceived exposure to AI is reflected in the tails of financial-sector returns, and whether this ...more »
Tagged width: banking, capital markets, fintech
Bruno Buchetti, Christian Eufinger, Luca X. Lin, Ixart Miquel-Flores, “Headwind or tailwind? How banks interpret borrowers’ AI exposure”
European Central Bank, Working paper n° 3302
Posted in: Articolo
Ott
30
2026
Abstract: General-purpose technologies create large opportunities but make their distribution across firms difficult to assess in real time. We use banks as interpreters of the rise of generative AI by studying lender-specific probability-of-default (PD) estimates for private firms in four large euro-area economies. As public ...more »
Tagged width: banking, capital markets, fintech
Thomas Garcia, Claudia Lambert, Cosimo Pancaro, Claire Rimbaud, Alice Soldà, “When less is more: behavioral effects of CBDC holding limits”
European Central Bank Working paper n° 3300
Posted in: Articolo
Ott
30
2026
Abstract: Holding limits are a central design feature of proposed retail central bank digital currencies (CBDC). While such limits mechanically prevent individuals from exceeding a maximum balance, they may also generate behavioral responses whose directions are a priori unclear. We conducted an incentivized online experiment ...more »
Tagged width: banking, capital markets
Dante Amengual and Lluc Puig-Codina, “A Bayesian analysis of the Cox-Ingersoll-Ross model”
Banco de España, Working Paper n° 2640
Posted in: Articolo
Ott
30
2026
Abstract: The Cox-Ingersoll-Ross model (CIR) is a diffusion process with widespread applications in economics, finance and population biology. In this paper we first obtain a full Gibbs Sampler for the exact CIR process observed at equidistant times. We do not require the imposition of the ...more »
Tagged width: banking, capital markets
Valerio Astuti, Adriano Baldeschi, Luca Bastianelli, Giuseppe Bruno, Riccardo Russo, Ajit Desai and Danica Marsden, “Liquidity Optimization in Gross Settlement Systems with Quantum Reordering: Application to TARGET2”
Bank of Canada, Working paper n° 2026-32
Posted in: Articolo
Set
24
2026
Abstract: In McMahon et al. (2024) the authors demonstrated the effectiveness of a hybrid quantum solver in improving the liquidity efficiency of Canada’s high-value payments system (HVPS), altering the payment queue in order to minimize liquidity requirements. In this work, we apply a similar technique ...more »
Tagged width: banking, capital markets
Antonio Diez de los Rios, “A New Approach to Estimating Portfolio-Balance Models of the Yield Curve”
Bank of Canada, Working paper n° 2026-33
Posted in: Articolo
Set
24
2026
Abstract: We show that the parameters of a broad class of portfolio-balance models can be recovered from estimates of Gaussian dynamic term structure models (GDTSMs) using a two-step estimator that bypasses the fixed-point problem that characterizes portfolio balance models. Specifically, we develop a novel canonical ...more »
Tagged width: banking, capital markets
Luís Fonseca, Giulia Martorana, Fabian Schupp and Giovanni Trebbi, “Inflation narratives and risk premia”
European Central Bank, Working paper n° 3288
Posted in: Articolo
Set
24
2026
Abstract: Theory suggests inflation risk premia are positive when supply shocks are expected to dominate demand shocks and negative otherwise. We measure these beliefs using demand and supply narratives derived from inflation news via Causality Extraction, which identifies causal relations between inflation and its drivers. ...more »
Tagged width: banking, capital markets
Craig A. Chikis, Jonathan Goldberg and David López-Salido, “The Innovator’s Risk Premium: Sticky Hurdle Rates, the Cost of Capital, and Creative Destruction”
Banco de España, Working paper n° 2628
Posted in: Articolo
Set
24
2026
Abstract: Firms’ hurdle rates exceed their financial cost of capital. This gap varies across firms and has widened in the aggregate. In our Schumpeterian model, two frictions drive this gap: firm decision-makers require an innovator’s risk premium for undiversifiable innovation risk, and innovation profits are ...more »
Tagged width: banking, capital markets
Lucas ter Steege and Sofia Velasco, “What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times”
Banco de España, Working paper n° 2629
Posted in: Articolo
Set
24
2026
Abstract: This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular focus on the unusual combination of dollar depreciation and rising long-term U.S. Treasury yields. We ask whether the market reaction can be understood as the propagation of a ...more »
Tagged width: banking, capital markets
Marco Grotteria and Alex Kontoghiorghes, “One dollar, many prices: dealer-specific pricing of synthetic dollar funding”
Bank of England, Working paper n° 1,207
Posted in: Articolo
Set
24
2026
Abstract: Does the price of synthetic dollar funding depend on which dealer intermediates the trade? We answer this question by comparing FX forwards in the same dollar currency pair, half-hour, and maturity bucket, which removes the common forward curve and isolates dealer-specific pricing. These dealer-specific ...more »
Tagged width: banking, capital markets
