Patrick de Fontnouvelle
Patrick de Fontnouvelle
Vice President

Supervision, Regulation & Credit

email  patrick.defontnouvelle@bos.frb.org

617-973-3659

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Publications

Books

"Implications of Alternative Operational Risk Modelling Techniques," with J. Jordan and E. Rosengren, in M. Carey and R. Stulz, eds., The Risks of Financial Institutions, NBER/University of Chicago Press, 2006.

"Searching for Sources of ARCH Behavior: Testing the Mixture of Distributions Model," in P. Rothman, ed., Nonlinear Time Series Analysis of Economic and Financial Data, Kluwer Academic Publishers, 1999.

Journals

"Capital and Risk: New Evidence on Implications of Large Operational Losses," with Virginia DeJesus-Rueff, John Jordan, and Eric Rosengren Journal of Money, Credit and Banking, vol. 38, no. 7 (October 2006): 1819-46

"How New Entry in Options Markets Affected Market Making and Trading Costs" with Raymond P.H. Fishe and Jeffrey H. Harris. Journal of Investment Management. vol. 3, no. 2 (Second Quarter 2005): 24-40.

"The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Listings Competition in 1999," with Raymond P.H. Fishe, and Jeffrey H. Harris.Journal of Finance. vol. 58 no. 6 (December 2003): 2437-2464.

"Transaction Costs and the Present-Value Puzzle of Farmland Prices," with Sergio Lence. Southern Economic Journal. (2002).

"Information Dynamics in Financial Markets." Macroeconomic Dynamics. (2001).

"Expectational Stability in Monetary Economies," with William Brock. Journal of Economic Dynamics and Control. (2000).

Working papers

"Capital and Risk: New Evidence on Implications of Large Operational Losses," with Virginia DeJesus-Rueff, John Jordan, and Eric Rosengren. FRB Boston Series, paper no. 03-5 (2003).

"Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements," with Jason Perry.