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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, JuanThis 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, ...