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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Top 11,883

in Total Papers Downloads

6,106

SSRN CITATIONS
Rank 8,751

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Top 8,751

in Total Papers Citations

74

CROSSREF CITATIONS

72

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 1,687 (15,519)
Citation 41

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 1,252 (23,906)
Citation 59

Abstract:

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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

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 793 (46,236)
Citation 27

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
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Boston
Downloads 591 (67,945)
Citation 5

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

Reach for Yield by U.S. Public Pension Funds

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 19-2
Number of pages: 68 Posted: 17 Jul 2019 Last Revised: 18 Mar 2022
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 309 (143,182)

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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
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 101 (377,577)

Abstract:

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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 366 (120,039)
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 341 (129,745)
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 286 (155,836)
Citation 13

Abstract:

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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 278 (160,490)
Citation 12

Abstract:

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10.

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 Last Revised: 18 Mar 2022
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 56 (520,023)

Abstract:

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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 46 (565,678)
Citation 6

Abstract:

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Banking, Risk, Uncertainty

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: 459
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 459

Abstract:

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Banking, Securitization, Loan Sales