Jorge A. Chan-Lau

International Monetary Fund (IMF) - International Capital Markets Department

700 19th Street NW

Washington, DC 20431

United States

National University of Singapore (NUS) - Risk Management Institute

Senior Research Fellow

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

Tufts University - Fletcher School of Law and Diplomacy

CEME Fellow

160 Packard Ave

Medford, MA 02155

United States

http://fletcher.tufts.edu/ceme/index.shtml

  • International Monetary Fund (IMF) - International Capital Markets Department

  • National University of Singapore (NUS) - Risk Management Institute

  • Tufts University - Fletcher School of Law and Diplomacy

SCHOLARLY PAPERS

70

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20,794

CITATIONS
Rank 6,455

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Top 6,455

in Total Papers Citations

125

Scholarly Papers (70)

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1.

Financial Crisis and Credit Crunch as a Result of Inefficient Financial Intermediation--With Reference to the Asian Financial Crisis

IMF Working Paper No. 98/127
Number of pages: 24 Posted: 17 Sep 1998
Jorge A. Chan-Lau and Zhaohui Chen
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 2,109 (6,512)
Citation 3

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Financial crisis, Asian crisis, credit crunch, financial intermediary, capital flow, capital inflow inertia

2.

The Globalization of Finance and its Implications for Financial Stability: An Overview of the Issues

Downloads 1,293 ( 14,559)

The Globalization of Finance and its Implications for Financial Stability: An Overview of the Issues

Number of pages: 39 Posted: 23 Aug 2007 Last Revised: 19 Mar 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 1,293 (14,257)
Citation 3

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Financial globalization, financial stability, banks, pension funds, insurance, mutual funds, regulation

The Globalization of Finance and its Implications for Financial Stability: An Overview of the Issues

International Journal of Banking, Accounting, and Finance, Vol. 1, No. 1, pp. 3-29, 2008
Posted: 21 Mar 2008
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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financial globalizatiion, financial stability, banks, pension funds, insurance, mutual funds, regulation

3.

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

IMF Working Paper No. WP/04/27
Number of pages: 31 Posted: 10 Apr 2005
Jorge A. Chan-Lau and Yoon Sook Kim
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 1,256 (15,215)

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Credit derivatives, bond spreads, equity prices, price discovery, equilibrium, emerging markets

4.

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

IMF Working Paper No. 06/104
Number of pages: 19 Posted: 17 May 2006
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 1,103 (18,562)

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Default probability, security prices, systemic risk, financial surveillance

5.

Assessing the Systemic Implications of Financial Linkages

IMF Global Financial Stability Report, Vol. 2, April 2009
Number of pages: 38 Posted: 12 Jun 2009
Jorge A. Chan-Lau, Marco Espinosa, Kay Giesecke and Juan A. Solé
International Monetary Fund (IMF) - International Capital Markets Department, affiliation not provided to SSRN, Stanford University - Management Science & Engineering and International Monetary Fund (IMF)
Downloads 972 (22,386)

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financial crisis, interconnectedness, network analysis, corisk, default intensity, perimeter of regulation, information gaps

6.

Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises

IMF Working Paper No. 03/106
Number of pages: 20 Posted: 21 Jul 2003
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 932 (23,786)
Citation 4

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Credit default swaps, maximum recovery rate, default probability, sovereign risk

7.

The Impact of Corporate Governance Structures on the Agency Cost of Debt

IMF Working Paper No. 01/204
Number of pages: 13 Posted: 14 Feb 2006
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 818 (28,648)

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Corporate governance, agency cost of debt, exit decision, bankruptcy

8.

Fundamentals-Based Estimation of Default Probabilities: A Survey

IMF Working Paper No. 06/149
Number of pages: 20 Posted: 26 Jul 2006
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 800 (29,535)

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Default probabilities, econometric models, scoring models, ratings models

9.

Corporate Restructuring in Japan: An Event-Study Analysis

Downloads 736 ( 33,113)

Corporate Restructuring in Japan: An Event-Study Analysis

IMF Working Paper No. 1/202
Number of pages: 15 Posted: 13 Aug 2002
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 736 (32,609)

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Japan, corporate restructuring, corporate governance, event-study analysis

Corporate Restructuring in Japan: An Event-Study Analysis

Japan and the World Economy, Vol. 14, pp. 367-377, December 2002
Posted: 24 Sep 2002 Last Revised: 20 Mar 2008
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Japan, corporate restructuring, corporate governance, event-study analysis

10.

Recent Advances in Credit Risk Modeling

Downloads 676 ( 37,193)
Citation 2

Recent Advances in Credit Risk Modeling

IMF Working Paper No. 09/162
Number of pages: 32 Posted: 19 Aug 2009
Christian Capuano, Jorge A. Chan-Lau, Jose Giancarlo Gasha, Carlos I. Medeiros, Andre Oliveira Santos and Marcos Souto
Swiss Financial Market Supervisory Authority (FINMA), International Monetary Fund (IMF) - International Capital Markets Department, affiliation not provided to SSRN, International Monetary Fund (IMF), International Monetary Fund (IMF) and George Washington University - School of Business
Downloads 492 (55,477)

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Asset prices, Bankruptcy, Bonds, Credit risk, Currencies, Economic models, External debt, Financial crisis, Financial risk, Financial sector, Sovereign debt

Recent Advances in Credit Risk Modeling

International Monetary Funds Working Paper No. 09/162
Number of pages: 32 Posted: 26 Aug 2009
Christian Capuano, Jorge A. Chan-Lau, Jose Giancarlo Gasha, Carlos I. Medeiros, Andre Oliveira Santos and Marcos Rietti Souto
Swiss Financial Market Supervisory Authority (FINMA), International Monetary Fund (IMF) - International Capital Markets Department, affiliation not provided to SSRN, International Monetary Fund (IMF), International Monetary Fund (IMF) and affiliation not provided to SSRN
Downloads 184 (162,812)
Citation 5

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credit risk models

11.

Distance-to-Default in Banking: A Bridge Too Far?

Downloads 584 ( 45,186)

Distance-to-Default in Banking: A Bridge Too Far?

IMF Working Paper No. 06/215
Number of pages: 19 Posted: 31 Oct 2006
Jorge A. Chan-Lau and Amadou Nicolas Racine Sy
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 584 (44,560)

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Banks, insolvency, closure, prompt corrective action, distance-to-default, distance-to-capital

Distance-to-Default in Banking: A Bridge Too Far?

Journal of Banking Regulation, Vol. 9, No. 1, pp. 14-24, November 2007
Posted: 06 Dec 2007
Jorge A. Chan-Lau and Amadou Nicolas Racine Sy
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - International Capital Markets Department

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Banks, insolvency, closure, prompt corrective action, distance-to-default, distance-to-capital

12.

FX-Adjusted Local Currency Spreads

Number of pages: 14 Posted: 12 May 2008
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 562 (47,457)

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credit spreads, exchange rates, credit risk, currency risk, credit derivatives

13.

Hedging Foreign Exchange Risk in Chile: Markets and Instruments

IMF Working Paper No. 05/37
Number of pages: 24 Posted: 10 Apr 2005
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 526 (51,582)

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Chile, derivatives markets, forward contracts, currency options

14.

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

IMF Working Paper No. 06/139
Number of pages: 27 Posted: 21 Jun 2006
Jorge A. Chan-Lau and Li Ong
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 473 (59,003)

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CDO, CDS, credit derivatives, credit risk transfer, structured credit products

15.

Extreme Contagion in Equity Markets

Downloads 446 ( 63,402)
Citation 16

Extreme Contagion in Equity Markets

IMF Working Paper No. 02/98
Number of pages: 25 Posted: 16 Apr 2003
Jorge A. Chan-Lau, Donald J. Mathieson and James Y. Yao
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 262 (115,105)
Citation 1

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Contagion equity markets extreme value theory

Extreme Contagion in Equity Markets

IMF Staff Papers, Vol. 51, No. 2, pp. 386-408, 2004
Number of pages: 23 Posted: 15 Apr 2005
Jorge A. Chan-Lau, Donald J. Mathieson and James Y. Yao
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 184 (162,812)

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Contagion, equity markets, extreme value theory

16.

Is Systematic Default Risk Priced in Equity Returns?: A Cross-Sectional Analysis Using Credit Derivatives Prices

IMF Working Paper No. 06/148
Number of pages: 18 Posted: 26 Jul 2006
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 431 (66,070)

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Equity returns, default risk, credit derivatives, credit derivatives indices, collateralized debt obligations

17.

Pension Funds and Emerging Markets

Downloads 426 ( 67,018)
Citation 5

Pension Funds and Emerging Markets

IMF Working Paper No. 04/181
Number of pages: 30 Posted: 18 Oct 2004
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 407 (70,187)

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Pension funds, emerging markets, asset allocation, regulation

Pension Funds and Emerging Markets

Financial Markets, Institutions & Instruments, Vol. 14, No. 3, pp. 107-134, August 2005
Number of pages: 28 Posted: 09 Aug 2005
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 19 (543,117)
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18.

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Downloads 419 ( 68,516)
Citation 4

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

IMF Working Paper No. 04/33
Number of pages: 22 Posted: 12 Apr 2004
Jorge A. Chan-Lau, Arnaud Jobert and Qingying Janet Kong
International Monetary Fund (IMF) - International Capital Markets Department, University of Cambridge - Finance and International Monetary Fund (IMF)
Downloads 278 (108,550)

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Distance-to-default, banks, emerging markets

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

IMF Working Paper No. 04/33
Number of pages: 22 Posted: 19 Mar 2007
Arnaud Jobert, Janet Kong and Jorge A. Chan-Lau
University of Cambridge - Finance, affiliation not provided to SSRN and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 141 (204,757)

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Banks, Emerging markets, Financial crisis

19.

Idiosyncratic and Systemic Risk in the European Corporate Sector: A Cdo Perspective

Downloads 408 ( 70,643)

Idiosyncratic and Systemic Risk in the European Corporate Sector: A Cdo Perspective

IMF Working Paper No. 06/107
Number of pages: 18 Posted: 21 Jun 2006
Jorge A. Chan-Lau and Yinqiu Lu
International Monetary Fund (IMF) - International Capital Markets Department and affiliation not provided to SSRN
Downloads 370 (78,432)

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Financial risk, Europe, Credit risk, Risk management, Financial sector, Debt, Credit tranches, Asset prices, International capital markets, Corporate sector

Idiosyncratic and Systemic Risk in the European Corporate Sector: A CDO Perspective

Number of pages: 18 Posted: 19 Jun 2013
Jorge A. Chan-Lau and Yinqiu Lu
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund
Downloads 38 (439,412)

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Systemic risk, idiosyncratic risk, credit derivatives, credit derivatives indices, collateralized debt obligations, tranches

20.

Contagion Risk in the International Banking System and Implications for London as a Global Financial Center

IMF Working Paper No. 07/74
Number of pages: 48 Posted: 12 Apr 2007
Li Ong, Srobona Mitra and Jorge A. Chan-Lau
International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 381 (76,458)

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bank soundness, co-exceedance, contagion risk, distance-to-default, extreme

21.

Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems

Downloads 319 ( 93,633)
Citation 8

Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems

IMF Working Paper No. 10/107
Number of pages: 26 Posted: 03 May 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 187 (160,414)
Citation 1

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Balance Sheet Network Analysis of Too-Connected-To-Fail Risk in Global and Domestic Banking Systems

IMF Working Paper
Number of pages: 26 Posted: 08 Mar 2010 Last Revised: 22 Mar 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 132 (216,159)
Citation 5

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Too-Connected-to-Fail, Interconnectedness, Banking System, Network Analysis

22.

The End: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

IMF Working Paper No. 05/231
Number of pages: 17 Posted: 17 Jan 2006
Jorge A. Chan-Lau and Toni Gravelle
International Monetary Fund (IMF) - International Capital Markets Department and Government of Canada - Financial Markets Department
Downloads 319 (93,633)

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Systemic Risk, Credit Risk, Corporate Vulnerability, Default Probability

23.

Regulatory Requirements and Their Implications for Bank Solvency, Liquidity and Interconnectedness Risks: Insights from Agent-Based Model Simulations

Number of pages: 40 Posted: 13 Dec 2014 Last Revised: 05 Mar 2015
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 278 (108,685)
Citation 4

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agent-based model, banks, regulation, financial stability, solvency, liquidity, interconnectedness

24.

Crash-Free Sequencing Strategies for Financial Development and Liberalization

Downloads 268 (112,954)

Crash-Free Sequencing Strategies for Financial Development and Liberalization

Number of pages: 21 Posted: 29 Dec 1998
Jorge A. Chan-Lau and Zhaohui Chen
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 268 (112,404)

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Crash-Free Sequencing Strategies for Financial Development and Liberalization

IMF Staff Papers, Vol. 48, No. 1, pp. 179-96
Posted: 05 May 2008
Jorge A. Chan-Lau and Zhaohui Chen
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)

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financial crisis, financial liberalization, financial development, sequencing

25.

Estimating the Exposures of Major Financial Institutions to the Global Credit Risk Transfer Market: Are They Slicing the Risks or Dicing with Danger?

Downloads 260 (116,575)
Citation 1

Estimating the Exposures of Major Financial Institutions to the Global Credit Risk Transfer Market: Are They Slicing the Risks or Dicing with Danger?

Number of pages: 18 Posted: 06 Dec 2007
Jorge A. Chan-Lau and Li Ong
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 260 (116,012)
Citation 1

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Collateralized debt obligations, credit derivatives, credit risk transfer, credit default swaps, vector autoregression

Estimating the Exposures of Major Financial Institutions to the Global Credit Risk Transfer Market: Are They Slicing the Risks or Dicing with Danger?

Journal of Fixed Income, Vol. 17, No. 3, 2007
Posted: 12 Dec 2007
Jorge A. Chan-Lau and Li Ong
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)

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Collateralized debt obligations, credit derivatives, credit risk transfer, credit default swaps, vector autoregression

26.

Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications

IMF Working Paper No. 06/269
Number of pages: 32 Posted: 12 Jan 2007
Jorge A. Chan-Lau and Andre Oliveira Santos
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 242 (125,482)

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Credit risk, Currencies, Financial crisis, Dollarization, Economic models

27.

Changes in Bank Funding Patterns and Financial Stability Risks

Chapter 3, IMF Global Financial Stability Report, October 2013
Number of pages: 44 Posted: 14 Oct 2013
Hiroko Oura, Brenda González-Hermosillo, Jorge A. Chan-Lau, Tryggvi Gudmundsson and Nico Valckx
International Monetary Fund (IMF), International Monetary Fund, International Monetary Fund (IMF) - International Capital Markets Department, University of Cambridge - Christ's College and International Monetary Fund (IMF)
Downloads 234 (129,801)

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Asset encumbrance, contingent capital, financial stability, bank financing, capital structure

28.

Financial Crisis, Interconnectedness and Regulatory Capital

Lombard Street, Vol. 2, No. 1, January 2010
Number of pages: 12 Posted: 14 Feb 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 217 (139,688)

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Too connected to fail, financial crisis, regulatory capital charges, interconnectedness

29.

Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal

Downloads 200 (150,776)
Citation 13

Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal

IMF Working Paper No. 10/98
Number of pages: 26 Posted: 19 Apr 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 106 (254,605)

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Bank regulations, Banking sector, Capital, Credit risk, Financial crisis, Financial institutions, Financial risk, Financial stability, Global Financial Crisis 2008-2009, Globalization, International financial system

Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal

IMF Working Paper
Number of pages: 27 Posted: 08 Mar 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 92 (280,253)
Citation 1

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Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal

Financial Markets, Institutions & Instruments, Vol. 19, No. 5, pp. 355-379, December 2010
Number of pages: 26 Posted: 16 Nov 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 2 (665,901)
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30.

Equity and Private Debt Markets in Central America, Panama, and the Dominican Republic

Downloads 194 (155,208)

Equity and Private Debt Markets in Central America, Panama, and the Dominican Republic

International Monetary Fund Working Paper No. WP/07/2008
Number of pages: 132 Posted: 20 Dec 2007
Hemant C. Shah, Ana Carvajal, Geoffrey J. Bannister, Jorge A. Chan-Lau and Ivan Guerra
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund, International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 114 (241,643)

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Central America, equity, debt, securitization, financial integration, capital market development, securities regulation, Costa Rica, Dominican Republic, El Salvador, Guatemala, Honduras, Nicaragua, Panama

Equity and Private Debt Markets in Central America, Panama, and the Dominican Republic

IMF Working Paper No. 07/288
Number of pages: 132 Posted: 27 Dec 2007
Hemant C. Shah, Ana Carvajal, Ivan Guerra, Geoffrey J. Bannister and Jorge A. Chan-Lau
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF), affiliation not provided to SSRN and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 80 (306,086)

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Working Paper

31.

Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components

IMF Working Paper No. 01/158
Number of pages: 63 Posted: 01 Feb 2006
Jorge A. Chan-Lau and Iryna V. Ivaschenko
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - Research Department
Downloads 174 (171,220)

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Investment grade bonds, corporate spreads, business cycle, forecasting, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, United States

32.

Market-Based Structural Top-Down Stress Tests of the Banking System

Downloads 170 (174,748)
Citation 2

Market-Based Structural Top-Down Stress Tests of the Banking System

IMF Working Paper No. 13/88
Number of pages: 18 Posted: 14 Apr 2013
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 109 (249,588)

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Banking systems, Financial institutions, Stress testing, Emerging markets, Economic models

Market-Based Structural Top-Down Stress Tests of the Banking System

IMF Working Paper No. 13/88
Number of pages: 19 Posted: 03 May 2013
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 61 (356,461)

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Stress testing, Banking systems, Financial institutions, Emerging markets, Financial sector, Economic models, Stress tests, banks, default risk, systemic risk, structural models, market prices, probability of default, banking, applications, credit risk, banking system, banking sector, market risk, bank data, supervisory agencies, bank of england, risk assessments, income statement, risk measure, bank recapitalization, banks ? balance sheets, consumer protection, risk modeling, risk premium, recapitalization, capital adequacy, bank run, risk assessment, central banking, banking regulation

33.

The Insurance Sector - Trends and Systemic Risk Implications

Global Financial Stability Report, IMF
Number of pages: 32 Posted: 16 Jun 2016
Nico Valckx, Jorge A. Chan-Lau, Alan Feng, Benjamin Huston, Gregorio Impavido, Andreas (Andy) Jobst, John Kiff, Frederic J. Lambert, Nobuyasu Sugimoto and Kai Yan
International Monetary Fund (IMF), International Monetary Fund (IMF) - International Capital Markets Department, Princeton University - Department of Economics, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - European Department, International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund (IMF) and Yale University
Downloads 169 (175,629)

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insurance, advanced economies, systemic risk, financial stability, macroprudential policy

34.

Dynamic Loan Loss Provisioning: Simulations on Effectiveness and Guide to Implementation

Downloads 82 (187,010)
Citation 6

Dynamic Loan Loss Provisioning: Simulations on Effectiveness and Guide to Implementation

International Monetary Fund Working Paper No. 12/110
Number of pages: 59 Posted: 12 May 2012
Torsten Wezel, Jorge A. Chan-Lau and Francesco Columba
International Monetary Fund (IMF), International Monetary Fund (IMF) - International Capital Markets Department and Bank of Italy
Downloads 82 (301,596)
Citation 6

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Dynamic Provisioning, procyclicality, macroprudential policy, Latin America

35.

Lasso Regressions and Forecasting Models in Applied Stress Testing

Downloads 156 (187,969)

Lasso Regressions and Forecasting Models in Applied Stress Testing

Number of pages: 33 Posted: 25 May 2016
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 101 (263,404)

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Stress test, forecasting, machine learning, model selection, lasso, relaxed lasso

Lasso Regressions and Forecasting Models in Applied Stress Testing

IMF Working Paper No. 17/108
Number of pages: 35 Posted: 16 Oct 2017
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 55 (375,515)

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Economic forecasting, Forecasting models, Regression analysis, Stress testing, Emerging markets, Stress test, machine learning, model selection, lasso, relaxed lasso, General, Forecasting and Other Model Applications

36.

Testing the Informational Efficiency of OTC Options on Emerging Market Currencies

IMF Working Paper No. 03/01
Number of pages: 25 Posted: 03 May 2003
Jorge A. Chan-Lau and Armando Morales Bueno
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - Monetary and Exchange Affairs Department
Downloads 150 (194,269)

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Currency options, efficient markets, Czech Republic, Poland, GMM

37.

Bail-In Power, Depositor Preference, and Asset Encumbrance: The End of Cheap Senior Unsecured Debt? A Structural Pricing Perspective

Number of pages: 37 Posted: 29 May 2016
Jorge A. Chan-Lau and Hiroko Oura
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 147 (197,447)
Citation 3

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bank funding, bail-in debt, CoCos, asset encumbrance, financial stability, bank resolution Authors

38.

Fixed Investment and Capital Flows: A Real Options Approach

IMF Working Paper No. 98/125
Number of pages: 28 Posted: 15 Feb 2006
Jorge A. Chan-Lau and Peter B. Clark
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 145 (199,725)

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capital flows, irreversible investment, interest rate spread, strategic behavior

39.

Fat-Tails and Their (Un)Happy Endings: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

IMF Working Paper No. 11/82
Number of pages: 22 Posted: 09 Mar 2011
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 143 (201,934)

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Basel III, correlation bias, copula capital structure model, corporate governance, prudential regulation, systemic risk

40.

Policy Instruments to Lean Against the Wind in Latin America

IMF Working Paper No. 11/159
Number of pages: 113 Posted: 19 Jul 2011
G. Terrier, Rodrigo Valdés, Camilo E. Tovar, Jorge A. Chan-Lau, Carlos Fernández-Valdovinos, Mercedes Garcia-Escribano, Carlos I. Medeiros, Man-Keung Tang, Mercedes Vera-Martin and W. Christopher Walker
International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund, International Monetary Fund (IMF) - International Capital Markets Department, Independent, University of Chicago - Department of Economics, International Monetary Fund (IMF), International Monetary Fund (IMF), affiliation not provided to SSRN and International Monetary Fund (IMF)
Downloads 139 (206,613)

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41.

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

IMF Working Paper No. 02/154
Number of pages: 30 Posted: 21 Jul 2003
Jorge A. Chan-Lau and Iryna V. Ivaschenko
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - Research Department
Downloads 139 (206,613)
Citation 4

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Price spillovers , volatility spillovers, asymmetric GARCH models, stock markets, United States, Asia

42.

U.S. Mutual Fund Retail Investors in International Equity Markets: Is the Tail Wagging the Dog?

IMF Working Paper No. 05/162
Number of pages: 17 Posted: 17 Jan 2006
Jorge A. Chan-Lau and Li Ong
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 138 (207,804)

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mutual funds, retail investors, equity markets, dedicated funds, crossover funds

43.

ABBA: An Agent-Based Model of the Banking System

Downloads 125 (224,616)
Citation 1

ABBA: An Agent-Based Model of the Banking System

Number of pages: 32 Posted: 25 May 2016
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 83 (299,277)
Citation 1

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agent-based model, banks, regulation, financial stability, solvency, liquidity, interconnectedness, NetLogo

ABBA: An Agent-Based Model of the Banking System

IMF Working Paper No. 17/136
Number of pages: 34 Posted: 09 Aug 2017
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 42 (422,607)

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Financial stability, Banks, Liquidity, Interconnectedness, agent-based model, regulation, solvency, NetLogo, Government Policy and Regulation

44.

Financial Network and Interconnected Risk in an Advanced Emerging Economy

Best Paper Award (Best Applied Paper) at 4th European Conference on Banking and the Economy (ECOBATE 2016), Winchester, UK, Conference paper of 2nd RiskLab/BoF/ECB/ESRB Conference on Systemic Risk Analysis in Helsinki, Finland, Oct 2016
Number of pages: 40 Posted: 08 Jan 2017 Last Revised: 18 Jan 2017
Ariel Sun and Jorge A. Chan-Lau
Imperial College London, Business School and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 117 (236,013)

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banking system; emerging market; contagion; systemic risk; interconnectedness; interbank network; centrality; macroprudential; microprudential

45.

The Global Financial Crisis and its Impact on the Chilean Banking System

IMF Working Paper No. 10/108
Number of pages: 22 Posted: 03 May 2010
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 117 (236,013)

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46.

The Corporate Spread Curve and Industrial Production in the United States

IMF Working Paper No. 02/8
Number of pages: 44 Posted: 30 Jan 2006
Jorge A. Chan-Lau and Iryna V. Ivaschenko
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - Research Department
Downloads 108 (249,875)

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Investment grade bonds, corporate spreads, term structure, real activity, forecasting, GMM estimation, United States

47.

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

Downloads 83 (296,620)
Citation 5

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

Number of pages: 22 Posted: 07 Jul 2012 Last Revised: 16 Jul 2012
Jorge A. Chan-Lau, Estelle Liu and Jochen Schmittmann
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund and International Monetary Fund (IMF)
Downloads 64 (347,620)
Citation 1

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Banks, equity returns, financial crisis, sovereign risk, sovereign debt crisis, economic growth, regulatory capital

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

Bundesbank Discussion Paper No. 32/2013
Number of pages: 28 Posted: 21 Jun 2016
Jorge A. Chan-Lau, Estelle Liu and Jochen M Schmittmann
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund and International Monetary Fund (IMF)
Downloads 19 (543,117)

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banks, equity returns, financial crisis, sovereign risk, sovereign debt crisis, economic growth, regulatory capital, panel data econometrics

48.

Public Debt Sustainability and Management in a Compound Option Framework

IMF Working Paper WP/10/2
Number of pages: 30 Posted: 16 Jan 2010 Last Revised: 28 Jan 2010
Jorge A. Chan-Lau and Andre Oliveira Santos
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 74 (317,342)
Citation 1

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Asset-liability management, debt management, default risk, Australia

49.

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

Downloads 73 (319,801)
Citation 2

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

Number of pages: 20 Posted: 01 Nov 2011 Last Revised: 14 Jun 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 59 (362,508)

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Dynamic provisions, procyclicality, simulation, banks, Chile

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

IMF Working Paper No. 12/124
Number of pages: 23 Posted: 09 Aug 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 14 (575,755)

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Dynamic Provisions, Procyclicality, Simulation, Banks, Capital, Financial Risk, Econometric Modeling

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

Journal of Banking Regulation, Vol. 13, No. 3, pp.178-188, July 2012
Posted: 10 Jul 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Dynamic provisions, procyclicality, banks, simulation, Chile

50.

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

IMF Working Paper No. 99/149
Number of pages: 23 Posted: 15 Feb 2006
Jorge A. Chan-Lau and Stephen Tokarick
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 69 (329,890)

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Inflation labor costs Phillips curve

51.

Variance Decomposition Networks: Potential Pitfalls and Simple Solutions

Number of pages: 45 Posted: 09 Dec 2016
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 64 (343,229)

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52.

Fat-Tails and Their (Un)Happy Endings: Correlation Bias and Its Implications for Systemic Risk and Prudential Regulation

Capco Journal of Financial Transformation, Vol. 32, pp. 49-57, August 2011
Number of pages: 12 Posted: 26 Jul 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 56 (366,666)

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Basel III, correlation bias, copula capital structure model, corporate governance, prudential regulation, systemic risk

53.

Monetary Policy in a Small Open Economy with Credit Goods Production

IMF Working Paper No. 98/153
Number of pages: 19 Posted: 15 Feb 2006
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 56 (366,666)

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Cash goods, credit goods, inflation, monetary policy, small open economy

54.

Public Debt Sustainability and Management in a Compound Option Framework

IMF Working Paper No. 10/2
Number of pages: 30 Posted: 18 Jan 2010
Andre Oliveira Santos and Jorge A. Chan-Lau
International Monetary Fund (IMF) and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 40 (421,875)

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Asset management, Australia, Credit risk, Debt management, Debt sustainability, Economic models, Group of Twenty, Public debt, Public sector, Risk management

55.

Tales from Two Neighbors Productivity Growth in Canada and the United States

IMF Working Paper No. 00/169
Number of pages: 23 Posted: 03 Feb 2006
Martin D. Cerisola and Jorge A. Chan-Lau
International Monetary Fund (IMF) and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 37 (434,035)

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Productivity Equipment Investment General Equilibrium Model Canada United States

56.

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

IMF Working Paper No. 12/174
Number of pages: 23 Posted: 01 Nov 2012
Jorge A. Chan-Lau, Estelle Liu and Jochen Schmittmann
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund and International Monetary Fund (IMF)
Downloads 33 (450,730)

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Banks, Equity Returns, Sovereign Risk, Sovereign Debt Crisis, Economic Growth, Regulatory Capital, Panel Data Econometrics, Banking Sector, Credit Risk, Economic Recession, General Financial Markets

57.

Bottom-Up Default Analysis of Corporate Solvency Risk: An Application to Latin America

IMF Working Paper No. 17/133
Number of pages: 34 Posted: 09 Aug 2017
Jorge A. Chan-Lau, Cheng Hoon Lim, Jose Daniel Rodriguez-Delgado, Bennett Sutton and Melesse Minale Tashu
International Monetary Fund (IMF) - International Capital Markets Department, International Monetary Fund (IMF), IMF Institute, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 32 (455,198)

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Bank capital, Corporate sector, Macro-financial, default risk, forward intensity models, economic scenarios, simulation, General

58.

Systemic Centrality and Systemic Communities in Financial Networks

Quantitative Finance and Economics 2 (2), pp. 468-496 (2018).
Number of pages: 29 Posted: 21 Jul 2019
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 26 (484,824)

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centrality, community detection, edge-betweenness, financial network, map equation, power law, systemic risk

59.

Variance Decomposition Networks: Potential Pitfalls and a Simple Solution

IMF Working Paper No. 17/107
Number of pages: 49 Posted: 16 Oct 2017
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Downloads 26 (484,824)

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networks, regularization techniques, global financial system, variance decomposition, VAR, Time-Series Models, Other

60.

A Theoretical Model of Financial Crisis

Review of International Economics, Vol. 10, pp. 53-63, 2002
Number of pages: 11 Posted: 25 Apr 2002
Jorge A. Chan-Lau and Zhaohui Chen
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)
Downloads 24 (495,861)
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61.

Corporate Governance Structures and the Agency Cost of Debt

Corporate Ownership and Control, Vol. 7, No. 2, pp. 451-465, Winter 2009
Posted: 26 Jul 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Corporate governance, agency cost of debt, exit decision, bankruptcy

62.

Frontier Markets: Punching Below Their Weight? A Risk Parity Perspective on Asset Allocation

Posted: 27 Jan 2012
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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frontier markets, equity markets, asset allocation, risk parity, equity portfolios

63.

The Asset-Liability Management Compound Option Model: A Public Debt Management Tool

THE VaR MODELING HANDBOOK, Chapter 6, G. Gregoriou, ed., McGraw-Hill, 2009
Posted: 03 Jul 2009
Jorge A. Chan-Lau and Andre Oliveira Santos
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)

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Asset-liability management, public debt management, compound option model, New Zealand

64.

Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises

CREDIT RISK: MODELS, DERIVATIVES, AND MANAGEMENT, Chapter 9, Niklas Wagner, ed., CRC Press, 2008
Posted: 25 Apr 2008
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Credit default swaps, credit derivatives, maximum recovery rate, default probability, sovereign risk

65.

Equity Prices, Bond Spreads, and Credit Default Swaps in Emerging Markets

ICFAI Journal of Derivatives Markets, Vol. 2, pp. 7-26, July 2005
Posted: 19 Mar 2008
Jorge A. Chan-Lau and Yoon Sook Kim
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)

Abstract:

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Credit derivatives, bonds, equity, price discovery

66.

US Mutual Fund Retail Investors in International Equity Markets: Is the Tail Wagging the Dog?

International Economics and Finance Journal, Vol. 1, No. 1, pp. 73-88, August 2005
Posted: 19 Mar 2008
Jorge A. Chan-Lau and Li Ong
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF)

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Mutual funds, retail investors, equity markets, dedicated investors, crossover investors

67.

Is Systematic Risk Priced in Equity Returns? A Cross-Section Analysis Using Credit Derivatives Prices

ICFAI Journal of Derivatives Markets, Vol. 4, No.1, pp. 76-87, January 2007.
Posted: 18 Mar 2008
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Equity returns, default risk, credit derivatives, credit derivatives indices, collateralized debt obligations

68.

Fixed Investments and Capital Flows: A Real Options Approach

Journal of Economic Integration, Vol. 21, No. 4, pp. 816-836, December 2006
Posted: 09 Mar 2007
Peter B. Clark and Jorge A. Chan-Lau
International Monetary Fund (IMF) and International Monetary Fund (IMF) - International Capital Markets Department

Abstract:

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fixed investments, capital flows, real options

69.

Foreign Exchange Hedging in Chile

Derivatives Use, Trading and Regulation, Vol. 12, No. 3, pp. 250-267
Posted: 08 Mar 2007
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department

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Chile, derivatives market, forward contracts, currency options

70.

Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia

Journal of Multinational Financial Management, Vol. 13, No. 4-5, pp. 302-322, December 2003
Posted: 14 May 2004
Jorge A. Chan-Lau and Iryna V. Ivaschenko
International Monetary Fund (IMF) - International Capital Markets Department and International Monetary Fund (IMF) - Research Department

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Price and Volatility Spillovers, asymmetric GARCH models, stock markets, United States, Asia