Is credit expansion a sign of desirable financial deepening or the prelude to an inevitable bust? We study this question in modern US data using a structural VAR model of 10 monthly-frequency varia
1. Credit risk of a loan with one normal macroeconomic driver. 2. Credit risk of a loan with one lognormal macroeconomic driver. 3. Calculation of worst case scenario with two macroeconomic drivers on
We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk exposures of a set of agents. She asks the agents to report their losses
Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemicall