Jorge A. Chan-Lau

ASEAN+3 Macroeconomic Research (AMRO)

10 Shenton Way #11-07/08

MAS Building

Singapore, 079117

Singapore

National University of Singapore (NUS) - Risk Management Institute

Senior Research Fellow

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

SCHOLARLY PAPERS

71

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22,717

SSRN CITATIONS
Rank 8,895

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Top 8,895

in Total Papers Citations

51

CROSSREF CITATIONS

138

Scholarly Papers (71)

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 2,209 (13,084)

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 1,515 (23,138)
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
ASEAN+3 Macroeconomic Research (AMRO)

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 1,419 (25,996)

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

4.

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
ASEAN+3 Macroeconomic Research (AMRO), affiliation not provided to SSRN, Stanford University - Department of Management Science & Engineering and International Monetary Fund (IMF)
Downloads 1,249 (31,306)
Citation 2

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

5.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 1,229 (32,062)
Citation 1

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Default probability, security prices, systemic risk, financial surveillance

6.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 906 (49,386)

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Default probabilities, econometric models, scoring models, ratings models

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 857 (53,352)
Citation 1

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

8.
Downloads 797 (58,806)
Citation 2

Recent Advances in Credit Risk Modeling

IMF Working Paper No. 09/162
Number of pages: 32 Posted: 19 Aug 2009
Swiss Financial Market Supervisory Authority (FINMA), ASEAN+3 Macroeconomic Research (AMRO), affiliation not provided to SSRN, International Monetary Fund (IMF), International Monetary Fund (IMF) and George Washington University - School of Business
Downloads 567 (89,905)

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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
Swiss Financial Market Supervisory Authority (FINMA), ASEAN+3 Macroeconomic Research (AMRO), affiliation not provided to SSRN, International Monetary Fund (IMF), International Monetary Fund (IMF) and affiliation not provided to SSRN
Downloads 230 (245,453)
Citation 4

Abstract:

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credit risk models

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF) - International Capital Markets Department
Downloads 635 (77,908)

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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
ASEAN+3 Macroeconomic Research (AMRO) 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

10.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 613 (82,462)

Abstract:

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Chile, derivatives markets, forward contracts, currency options

11.

FX-Adjusted Local Currency Spreads

Number of pages: 14 Posted: 12 May 2008
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 610 (82,988)

Abstract:

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

12.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 543 (96,149)

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

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
ASEAN+3 Macroeconomic Research (AMRO), University of Cambridge - Finance and International Monetary Fund (IMF)
Downloads 339 (164,701)

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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 ASEAN+3 Macroeconomic Research (AMRO)
Downloads 171 (322,477)

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Banks, Emerging markets, Financial crisis

14.
Downloads 502 (105,869)
Citation 20

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
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 288 (195,958)
Citation 1

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Contagion equity markets extreme value theory

Extreme Contagion in Equity Markets

Number of pages: 23 Posted: 15 Apr 2005
Jorge A. Chan-Lau, Donald J. Mathieson and James Y. Yao
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 214 (262,965)
Citation 1

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Contagion, equity markets, extreme value theory

15.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 470 (114,502)

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

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
ASEAN+3 Macroeconomic Research (AMRO) and affiliation not provided to SSRN
Downloads 393 (139,795)

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund
Downloads 68 (625,407)

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

17.

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 ASEAN+3 Macroeconomic Research (AMRO)
Downloads 454 (119,330)

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 240 (235,491)
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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 174 (317,595)
Citation 3

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

19.

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
ASEAN+3 Macroeconomic Research (AMRO) and Government of Canada - Financial Markets Department
Downloads 393 (141,067)

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Systemic Risk, Credit Risk, Corporate Vulnerability, Default Probability

20.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 382 (145,656)
Citation 4

Abstract:

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

21.

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
International Monetary Fund (IMF), International Monetary Fund, ASEAN+3 Macroeconomic Research (AMRO), University of Cambridge - Christ's College and International Monetary Fund (IMF)
Downloads 316 (178,818)
Citation 1

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

22.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 295 (192,309)

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

Crash-Free Sequencing Strategies for Financial Development and Liberalization

Number of pages: 21 Posted: 29 Dec 1998
Jorge A. Chan-Lau and Zhaohui Chen
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 294 (191,803)

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)

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financial crisis, financial liberalization, financial development, sequencing

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
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF), affiliation not provided to SSRN and ASEAN+3 Macroeconomic Research (AMRO)
Downloads 148 (364,687)

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Working Paper

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
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund, ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 144 (372,955)

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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

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 288 (195,958)
Citation 2

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)

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

26.
Downloads 281 (202,221)
Citation 1

ABBA: An Agent-Based Model of the Banking System

Number of pages: 32 Posted: 25 May 2016
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 198 (282,549)
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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 83 (556,419)

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

27.

The Insurance Sector - Trends and Systemic Risk Implications

Global Financial Stability Report, IMF
Number of pages: 32 Posted: 16 Jun 2016
International Monetary Fund (IMF), ASEAN+3 Macroeconomic Research (AMRO), Princeton University - Department of Economics, International Monetary Fund (IMF), International Monetary Fund (IMF), Central Bank of the UAE, Kiffmeister Consulting, International Monetary Fund (IMF), International Monetary Fund (IMF) and Yale University
Downloads 280 (202,947)
Citation 1

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 262 (216,939)

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 141 (379,307)

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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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 111 (456,790)
Citation 1

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Lasso Regressions and Forecasting Models in Applied Stress Testing

Number of pages: 33 Posted: 25 May 2016
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 149 (362,644)

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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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 101 (489,279)
Citation 1

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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

Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures

COVID Economics, December 2020, Issue 60, pp. 57-79.
Number of pages: 22 Posted: 30 Nov 2020 Last Revised: 12 Jan 2021
Jorge A. Chan-Lau and Yunhui Zhao
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 152 (356,806)

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COVID-19, Stock price, Stimulus policy, Exit strategy, Event studies

Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures

IMF Working Paper No. 2020/285
Number of pages: 23 Posted: 26 Jan 2021
Jorge A. Chan-Lau and Yunhui Zhao
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 95 (510,168)

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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), ASEAN+3 Macroeconomic Research (AMRO) and Bank of Italy
Downloads 112 (453,639)
Citation 11

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Dynamic Provisioning, procyclicality, macroprudential policy, Latin America

33.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 238 (238,528)
Citation 6

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 143 (375,027)

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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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 84 (552,217)

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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

35.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF) - Research Department
Downloads 224 (252,754)

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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

36.

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 ASEAN+3 Macroeconomic Research (AMRO)
Downloads 208 (270,822)

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

37.

Policy Instruments to Lean Against the Wind in Latin America

IMF Working Paper No. 11/159
Number of pages: 113 Posted: 19 Jul 2011
International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund, ASEAN+3 Macroeconomic Research (AMRO), 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 208 (270,822)

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38.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 205 (274,501)
Citation 3

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

39.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 175 (316,307)

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

40.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 164 (334,527)

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

41.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 164 (334,527)

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 164 (334,527)

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

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
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund and International Monetary Fund (IMF)
Downloads 108 (466,080)
Citation 5

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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 Schmittmann
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund and International Monetary Fund (IMF)
Downloads 40 (801,621)
Citation 1

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

44.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF) - Research Department
Downloads 130 (403,541)

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

45.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 108 (463,374)
Citation 1

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

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 74 (596,307)

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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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 31 (876,390)

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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
ASEAN+3 Macroeconomic Research (AMRO)

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Dynamic provisions, procyclicality, banks, simulation, Chile

47.

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
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund (IMF), IMF Institute, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 98 (495,782)

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

48.

Variance Decomposition Networks: Potential Pitfalls and Simple Solutions

Number of pages: 45 Posted: 09 Dec 2016
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 94 (509,405)

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49.

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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)
Downloads 94 (509,405)

Abstract:

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Inflation labor costs Phillips curve

50.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 83 (550,292)

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

51.

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 ASEAN+3 Macroeconomic Research (AMRO)
Downloads 80 (562,497)

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

52.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 78 (570,723)

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

53.

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 ASEAN+3 Macroeconomic Research (AMRO)
Downloads 63 (640,429)

Abstract:

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Productivity Equipment Investment General Equilibrium Model Canada United States

54.

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
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 55 (683,755)
Citation 3

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

UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification

IMF Working Paper No. 2020/262
Number of pages: 25 Posted: 26 Jan 2021
Jorge A. Chan-Lau and Ran Wang
ASEAN+3 Macroeconomic Research (AMRO) and University of California, Riverside (UCR)
Downloads 34 (850,227)

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UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification

Number of pages: 24 Posted: 18 Feb 2021
Jorge A. Chan-Lau and Ran Wang
ASEAN+3 Macroeconomic Research (AMRO) and University of California, Riverside (UCR)
Downloads 20 (984,803)

Abstract:

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clustering, unsupervised feature extraction, autoencoder, machine learning, deep learning, biased label problem, crisis prediction

56.

Cryptocurrencies and Banking Sector Connectedness: Don’t Worry, Be Happy … for Now

Number of pages: 44 Posted: 19 Feb 2024
Jorge A. Chan-Lau and Long Quach
ASEAN+3 Macroeconomic Research (AMRO) and ASEAN+3 Macroeconomic Research (AMRO)
Downloads 51 (707,584)

Abstract:

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Cryptocurrencies, banks, connectedness, systemic risk, spillovers, vector autoregression, long-short term memory model

57.

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
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund and International Monetary Fund (IMF)
Downloads 51 (707,584)

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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

58.

Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk

IMF Working Paper Series 21/143, 2021
Number of pages: 24 Posted: 25 Jun 2021
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 45 (745,985)

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probability of default, distance-to-default, default risk, stock markets, quantile regression, scenario analysis, stress test

59.

Surrogate Data Models: Interpreting Large-Scale Machine Learning Crisis Prediction Models

IMF Working Paper No. 2023/041
Number of pages: 31 Posted: 07 Mar 2023
Jorge A. Chan-Lau, Ruofei Hu, Maksym Ivanyna, Ritong Qu and Cheng Zhong
ASEAN+3 Macroeconomic Research (AMRO), International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 39 (788,465)

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Crisis prediction, machine learning, surrogates, explainable models, IMF ML crisis, ML crisis prediction, Annex I. IMF ML, surrogate data models, model interpretability, Early warning systems, Yield curve, Deposit rates, Global

60.

Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk

IMF Working Paper No. 2021/143
Number of pages: 24 Posted: 04 Feb 2022
Jorge A. Chan-Lau
ASEAN+3 Macroeconomic Research (AMRO)
Downloads 27 (886,777)

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probability of default, distance-to-default, default risk, stock markets, quantile regression, scenario analysis, stress test

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
ASEAN+3 Macroeconomic Research (AMRO)

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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
ASEAN+3 Macroeconomic Research (AMRO)

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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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)

Abstract:

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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
ASEAN+3 Macroeconomic Research (AMRO)

Abstract:

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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
ASEAN+3 Macroeconomic Research (AMRO) 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
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF)

Abstract:

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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
ASEAN+3 Macroeconomic Research (AMRO)

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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 ASEAN+3 Macroeconomic Research (AMRO)

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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
ASEAN+3 Macroeconomic Research (AMRO)

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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

Posted: 14 May 2004
Jorge A. Chan-Lau and Iryna V. Ivaschenko
ASEAN+3 Macroeconomic Research (AMRO) and International Monetary Fund (IMF) - Research Department

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

71.

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
ASEAN+3 Macroeconomic Research (AMRO)

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