Matthew Pritsker
Matthew Pritsker
Senior Financial Economist and Policy Advisor

Supervision, Regulation & Credit

email  Matthew.Pritsker@bos.frb.org

617-973-3191

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Publications

Journal articles

"Knightian Uncertainty and Interbank Lending," The Journal of Financial Intermediation, vol. 22 (2013): 85-105.

"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.

"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.

Other Publications

"Definitions and Types of Financial Contagion," The Handbook of Financial Globalization, Elsevier, 2012

"Large Investors and Liquidity: A Review of the Literature," Risk Measurement and Systemic Risk: Proceedings of the third joint Central Bank Research Conference, The Bank for International Settlements, October 2002, 126-139.

"The Channels for Financial Contagion," in Stijn Claessens, Kristin J. Forbes, eds., International Financial Contagion. Boston/Dordrecht/London: Kluwer Academic Publishers, 2001.

"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.

Working Papers

"Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Federal Reserve Bank of Boston, 2016.

"Network Uncertainty and Interbank Markets," 2015

"Enhanced Stress Testing and Financial Stability," Federal Reserve Bank of Boston, 2014

"Impact of Securitization on U.S. Bank Holding Companies," 2008 with W. Jiangli.

"Banking and Securitization," 2007 with P. Raupach

"Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity," 2009

"A Fully-Rational Liquidity Based Model of IPO Underpricing and Underperformance," 2005