• Analytical Solutions to Multi-period Credit Portfolio Management A Macroeconomic Approach 

      Suárez-Lledó Grande, José; Licari, Juan; Ordóñez, Gustavo (03/08/2015)
      In this paper we develop a quantitative framework that allows us to calculate portfolio credit risk metrics analytically under multi-period and multi-credit-state environments. Of particular interest is the calculation of ...
    • Illiquid Financial Markets and Monetary Policy 

      Suárez-Lledó Grande, José; Geromichalos, Athanasios; Licari, Juan
      This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, G arleanu, and Pedersen, ...