Matt Pritsker

Federal Reserve Bank of Boston

Senior Financial Economist

600 Atlantic Avenue

Boston, MA 02210

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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CITATIONS
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Top 9,094

in Total Papers Citations

87

Scholarly Papers (12)

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 1,460 (12,024)
Citation 25

Abstract:

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Banking, Securitization

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 1,184 (16,372)
Citation 16

Abstract:

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A Rational Expectations Model of Financial Contagion

Journal of Finance, Vol. 57, pp. 769-799, 2002
Posted: 28 Dec 2003
Laura E. Kodres and Matt Pritsker
International Monetary Fund (IMF) - Research Department and Federal Reserve Bank of Boston

Abstract:

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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 709 (34,873)
Citation 14

Abstract:

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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
Federal Reserve Board and Federal Reserve Bank of Boston
Downloads 564 (47,310)
Citation 4

Abstract:

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

5.

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 342 (86,749)
Citation 2

Abstract:

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IPO, Asset Pricing, Market Microstructure, Liquidity

6.

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 307 (97,742)
Citation 27

Abstract:

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Strategic investors, contagion, Cournot competition

7.

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 263 (115,329)
Citation 6

Abstract:

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8.

Enhanced Stress Testing and Financial Stability

Number of pages: 43 Posted: 12 Jun 2012
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 243 (125,100)
Citation 6

Abstract:

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Stress Testing, Financial Stability, Bank Capital Regulation

Reach for Yield by U.S. Public Pension Funds

FEDS Working Paper No. 2019-048
Number of pages: 67 Posted: 17 Jul 2019
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 17 (556,622)

Abstract:

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

10.

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 38 (430,376)
Citation 5

Abstract:

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Banking, Risk, Uncertainty

11.

Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-4
Number of pages: 58 Posted: 08 Nov 2017
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 32 (455,627)

Abstract:

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Stress Testing, financial stability, banking

12.

Evaluating Value at Risk Methodologies: Accuracy Versus Computational Time

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

Abstract:

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Other Papers (1)

Total Downloads: 315
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 315

Abstract:

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Banking, Securitization, Loan Sales