Supervision, Regulation & Credit
Matthew.Pritsker@bos.frb.org
Biography
Matt Pritsker is a financial economist at the Federal Reserve Bank of Boston. His research is in the areas of banking, financial markets, market microstructure, risk measurement and management. 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.
Work Experience
Federal Reserve Bank of Boston - Senior Financial Economist and Policy Advisor, November 2013-
Federal Reserve Bank of Boston - Senior Financial Economist, December 2011-October 2013
Board of Governors of the Federal Reserve System - Senior Economist, 1994-2011
Board of Governors of the Federal Reserve System – Economist, 1991 - 1993
New York University Stern School of Business - Visiting Scholar, January - May 2009
New York University Stern School of Business - Visiting Professor of Finance, September - December 2008
Johns Hopkins University - Adjunct Professor of Economics, Spring 2006, Spring 2007, Spring 2008
University of California at Berkeley - Visiting Professor of Economics, January-May 2001
Georgetown University - Adjunct Professor of Economics, 1996-1997
Education
Ph.D., Economics, Princeton University, 1992
M.A., Economics, Princeton University, 1988
B.A., Economics, University of Michigan, 1986
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