Matt Pritsker

Federal Reserve Bank of Boston

Senior Financial Economist

600 Atlantic Avenue

Boston, MA 02210

United States

  • Federal Reserve Bank of Boston

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    • Tel: 617-973-3191
SCHOLARLY PAPERS

13

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6,938

TOTAL CITATIONS
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Top 8,932

in Total Papers Citations

240

Scholarly Papers (13)

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1.

The Impacts of Securitization on US Bank Holding Companies

Number of pages: 58 Posted: 06 Mar 2008
Wenying Jiangli and Matt Pritsker
U.S. Federal Deposit Insurance Corporation (FDIC) and Federal Reserve Bank of Boston
Downloads 1,802 (19,717)
Citation 41

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Banking, Securitization

2.

A Rational Expectations Model of Financial Contagion

Downloads 1,337 (30,970)
Citation 95

A Rational Expectations Model of Financial Contagion

Board of Governors of the Federal Reserve Finance and Economics Discussion Series 98-48
Number of pages: 57 Posted: 26 Feb 1999
Laura E. Kodres and Matt Pritsker
International Monetary Fund (IMF) - Research Department and Federal Reserve Bank of Boston
Downloads 1,337 (30,433)
Citation 95

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A Rational Expectations Model of Financial Contagion

Posted: 28 Dec 2003
Laura E. Kodres and Matt Pritsker
International Monetary Fund (IMF) - Research Department and Federal Reserve Bank of Boston

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3.

The Hidden Dangers of Historical Simulation

FEDS Discussion Paper No. 2001-27
Number of pages: 62 Posted: 02 Oct 2001
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 875 (56,541)
Citation 27

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Risk measurement, value at risk, GARCH

4.

Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios

Board of Governors of the Federal Reserve System, Finance and Economics Working Paper No. 25, 2000
Number of pages: 30 Posted: 02 Oct 2001
Michael S. Gibson and Matt Pritsker
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Boston
Downloads 659 (82,060)
Citation 7

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Scenario simulation, principal components, partial least squares, Monte Carlo

5.

Reach for Yield by U.S. Public Pension Funds

Downloads 605 (91,509)
Citation 6

Reach for Yield by U.S. Public Pension Funds

FRB of Boston Supervisory Research & Analysis Unit Working Paper No. #RPA 19-2
Number of pages: 68 Posted: 17 Jul 2019 Last Revised: 13 Oct 2023
Lina Lu, Matt Pritsker, Andrei Zlate, Kenechukwu Anadu and James Bohn
Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Boston and Federal Reserve Bank of Boston
Downloads 474 (122,225)
Citation 1

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U.S. public pension funds, reach for yield, Value at Risk, underfunding, duration-matched discount rates, state public debt.

Reach for Yield by U.S. Public Pension Funds

FEDS Working Paper No. 2019-48
Number of pages: 67 Posted: 17 Jul 2019
Lina Lu, Matt Pritsker, Andrei Zlate, Kenechukwu Anadu and James Bohn
Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Boston and Federal Reserve Bank of Boston
Downloads 131 (442,459)
Citation 5

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U.S. public pension funds, reach for yield, Value at Risk, underfunding, duration-matched discount rates, state public debt

6.

A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance

FEDs Series No. 2006-12
Number of pages: 68 Posted: 25 Feb 2005
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 419 (143,123)
Citation 3

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IPO, Asset Pricing, Market Microstructure, Liquidity

7.

Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity

FEDS Working Paper No. 2005-36
Number of pages: 74 Posted: 20 Oct 2005
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 378 (160,787)
Citation 32

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Strategic investors, contagion, Cournot competition

8.

Enhanced Stress Testing and Financial Stability

Number of pages: 43 Posted: 12 Jun 2012
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 346 (177,236)
Citation 12

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Stress Testing, Financial Stability, Bank Capital Regulation

9.

Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models

Finance and Economics Discussion Series 97-26
Number of pages: 49 Posted: 26 Nov 1997
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 301 (205,827)
Citation 11

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10.

Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction

FRB of Boston Supervisory Research & Analysis Unit Working Paper No. RPA 17-4
Number of pages: 58 Posted: 08 Nov 2017 Last Revised: 13 Oct 2023
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 104 (524,709)

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Stress Testing, financial stability, banking

11.

Informational Easing: Improving Credit Conditions Through the Release of Information

Economic Policy Review, Vol. 16, No. 1, p. 77, August 2010
Number of pages: 11 Posted: 17 Sep 2010
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 64 (695,569)
Citation 6

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Banking, Risk, Uncertainty

12.

Understanding the Pricing of Carbon Emissions: New Evidence from the Stock Market

Number of pages: 59 Posted: 04 Oct 2024
Matteo Crosignani, Emilio Osambela and Matt Pritsker
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Boston
Downloads 48 (799,956)

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carbon emissions, stock returns, climate risk

13.

Evaluating Value at Risk Methodologies: Accuracy Versus Computational Time

WFIC 96-48
Posted: 14 Jan 1997
Matt Pritsker
Federal Reserve Bank of Boston

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Other Papers (1)

Total Downloads: 552
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1.

Banking and Securitization

EFA 2007 Ljubljana Meetings Paper
Number of pages: 81 Posted: 06 Mar 2007 Last Revised: 21 Mar 2008
Wenying Jiangli, Matt Pritsker and Peter Raupach
U.S. Federal Deposit Insurance Corporation (FDIC), Federal Reserve Bank of Boston and Deutsche Bundesbank - Research Department
Downloads 552

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Banking, Securitization, Loan Sales