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A list of all the posts and pages found on the site. For you robots out there is an XML version available for digesting as well.
Pages
Daniel K Dimitrov
About me
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Posts
Future Blog Post
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Blog Post number 4
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Blog Post number 3
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Blog Post number 2
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Blog Post number 1
Published:
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portfolio
Portfolio item number 1
Short description of portfolio item number 1
Portfolio item number 2
Short description of portfolio item number 2
publications
Intergenerational Risk Sharing with Market Liquidity Risk
This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in the form of uncertain trading costs. We use a stylized two-period OLG framework, where each generation makes a portfolio allocation decision for retirement, and show that illiquidity reduces the range of transferable shocks between generations and thus lowers the benefits of risk-sharing. Higher illiquidity then may justify higher levels of risk sharing to compensate for the trading friction. We still find that a contingent transfers policy based on a reasonably parametrized savings portfolio with liquid and illiquid assets increases aggregate welfare.
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Macroprudential Regulation: A Risk Management Approach
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. The model is estimated from high-frequency CDS data. The approach captures risks from privately held institutions and cooperative banks, extending approaches that rely on information from the public equity market. We account for correlated losses between the institutions, overcoming a modeling weakness in earlier studies.
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Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Financial Sector
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending approaches that rely on information from the public equity market only. We account for correlated losses between the institutions, overcoming a modeling weakness in earlier studies. We also offer a modeling extension to account for fat tails and skewness of asset returns. The model is applied to a universe of banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less systemically important banks on a European scale.
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Central Bank Capital and Shareholder Relationship
We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending approaches that rely on information from the public equity market only. We account for correlated losses between the institutions, overcoming a modeling weakness in earlier studies. We also offer a modeling extension to account for fat tails and skewness of asset returns. The model is applied to a universe of banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less systemically important banks on a European scale.
Download here
talks
Talk 1 on Relevant Topic in Your Field
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Conference Proceeding talk 3 on Relevant Topic in Your Field
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teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
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Teaching experience 2
Workshop, University 1, Department, 2015
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