Matt Pritsker is a financial economist at the Federal Reserve Bank of Boston. His research is in the areas of asset pricing, market microstructure, risk measurement and management, and banking. His most recent research is on the design of systemic-risk stress tests for the banking system. Other recent papers are on Knightian uncertainty in interbank markets, and on how securitization affects banking. Other research papers are on market liquidity, financial contagion, and financial econometrics.
Matt earned a BA in economics from the University of Michigan in 1986, and a Ph.D.in economics from Princeton University in 1992.
“Informational Easing: Improving Credit Conditions through the Release of Information,” Economic Policy Review, Federal Reserve Bank of New York, (August 2010): 77-87.
“The Hidden Dangers of Historical Simulation,” The Journal of Banking and Finance (2006): 561-582.
''A Rational Expectations Model of Financial Contagion," with Laura E. Kodres, The Journal of Finance, vol. 57 (April 2002): 769-99.
''Improving Grid-Based Methods for Estimating Value at Risk of Fixed Income Portfolios,'' with Michael S. Gibson, The Journal of Risk, vol. 3 (Winter 2000/2001): 65-89.
'The Channels for Financial Contagion,'' in Stijn Claessens, Kristin J. Forbes, eds., International Financial Contagion. Boston/Dordrecht/London: Kluwer Academic Publishers, 2001.
''Nonparametric Density Estimation and Tests of Continuous-Time Interest Rate Models,'' The Review of Financial Studies, vol. 11 (Fall 1998): 449-487.
''Evaluating Value at Risk Methodologies: Accuracy versus Computational Time,'' Journal of Financial Services Research, vol. 12 (1997): 201-242.
''Liquidity Risk and Positive Feedback,'' in The Measurement of Aggregate Market Risk. Basel: Bank for International Settlements, 1997.
Directionally Similar Position Taking and Herding by Large Futures Market Participants,'' with Laura E. Kodres, in Risk Measurement and Systemic Risk. Washington: Board of Governors of the Federal Reserve System, 1996.
''The Hidden Dangers of Historical Simulation,'' Finance and Economics Discussion Series 2001-27. Board of Governors of the Federal Reserve System, 2001.
Ph.D., Economics, Princeton University, 1992
M.A., Economics, Princeton University, 1988
B.A., Economics, University of Michigan, 1986