Mr.Jorge A. Chan-Lau

ABBA: An Agent-Based Model of the Banking System

A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks ...

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven ...

Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System

Dynamic provisions could help to enhance the solvency of individual banks and reduce procyclicality. Accomplishing these objectives depends on country...

Bottom-Up Default Analysis of Corporate Solvency Risk

An Application to Latin America

This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilit...

Policy Instruments to Lean Against the Wind in Latin America

This paper reviews policy tools that have been used and/or are available for policy makers in the region to lean against the wind and review relevant ...

Assessing Corporate Vulnerabilities in Indonesia

A Bottom-Up Default Analysis

Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This pape...

Public Debt Sustainability and Management in a Compound Option Framework

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net w...

Variance Decomposition Networks

Potential Pitfalls and a Simple Solution

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual fir...

Monitoring Privately-held Firms' Default Risk in Real Time: A Signal-Knowledge Transfer Learning Model

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model ...

Financial Crisis and Credit Crunch As a Result of Inefficient Financial Intermediation

With Reference to the Asian Financial Crisis

This paper develops a model of private debt financing under inefficient financial intermediation. It suggests a mechanism that can generate the follow...

Dynamic Loan Loss Provisioning

Simulationson Effectiveness and Guide to Implementation

This simulation-based paper investigates the impact of different methods of dynamic provisioning on bank soundness and shows that this increasingly po...

The Global Financial Crisis and its Impacton the Chilean Banking System

This paper explores how the global turmoil affected the risk of banks operating in Chile, and provides evidence that could help strengthen work on vul...

Fixed Investment and Capital Flows

A Real Options Approach

This paper draws a link between international capital flows and the real options approach to investment by extending a model of real estate investment...

Idiosyncratic and Systemic Risk in the European Corporate Sector

A CDO Perspective

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to...

Why Has Inflation in the United States Remained so Low? Reassessing the Importance of Labor Costs and the Price of Imports

This paper examines some of the factors that have been influential in keeping inflation low in the United States during 1995–98, despite strong grow...

Hong Kong SAR

Meeting the Challenges of Integration with the Mainland

This Occasional Paper provides an overview of the main challenges facing Hong Kong SAR as it continues to become more closely integrated with the main...