Matt Pritsker

Federal Reserve Bank of Boston

Senior Financial Economist

600 Atlantic Avenue

Boston, MA 02210

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 10,391

SSRN RANKINGS

Top 10,391

in Total Papers Downloads

5,840

SSRN CITATIONS
Rank 8,929

SSRN RANKINGS

Top 8,929

in Total Papers Citations

72

CROSSREF CITATIONS

74

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 1,607 (13,924)
Citation 41

Abstract:

Loading...

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 1,233 (20,568)
Citation 59

Abstract:

Loading...

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:

Loading...

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 763 (41,325)
Citation 27

Abstract:

Loading...

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 579 (59,349)
Citation 5

Abstract:

Loading...

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 355 (106,485)
Citation 3

Abstract:

Loading...

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 337 (112,858)
Citation 32

Abstract:

Loading...

Strategic investors, contagion, Cournot competition

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: 25 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 238 (161,228)

Abstract:

Loading...

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 94 (344,500)

Abstract:

Loading...

8.

Enhanced Stress Testing and Financial Stability

Number of pages: 43 Posted: 12 Jun 2012
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 276 (139,538)
Citation 13

Abstract:

Loading...

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 269 (143,290)
Citation 12

Abstract:

Loading...

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
Matt Pritsker
Federal Reserve Bank of Boston
Downloads 47 (490,866)

Abstract:

Loading...

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 42 (513,170)
Citation 6

Abstract:

Loading...

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:

Loading...

Other Papers (1)

Total Downloads: 413
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 413

Abstract:

Loading...

Banking, Securitization, Loan Sales