Details about Alexis Derviz

Access statistics for papers by Alexis Derviz.

Last updated 2013-04-17. Update your information in the RePEc Author Service.

Short-id: pde319

Working Papers

2012

1. Coordination Incentives in Cross-Border Macroprudential Regulation
   Working Papers, Czech National Bank, Research Department
   Also in Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2012)

2011

2. Financial Frictions, Bubbles, and Macroprudential Policies
   Working Papers, Czech National Bank, Research Department

2009

3. Funding Costs and Loan Pricing by Multinational Bank Affiliates
   Working Papers, Czech National Bank, Research Department View citations (2)

2007

4. Cross-border lending contagion in multinational banks
   Working Paper Series, European Central Bank View citations (5)
   Also in Working Papers, Czech National Bank, Research Department (2006) View citations (7)
5. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

2005

6. Cross-border Risk Transmission by a Multinational Bank
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
   See also Journal Article in Czech Economic Review (2007)

2004

7. Exchange rate risks and asset prices in a small open economy
   Working Paper Series, European Central Bank View citations (8)
8. Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic
   Working Papers, Czech National Bank, Research Department View citations (3)
   See also Journal Article in Emerging Markets Finance and Trade (2008)

2003

9. Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market
   Working Papers, Czech National Bank, Research Department View citations (6)
10. Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio
    Working Papers, Czech National Bank, Research Department View citations (2)
11. FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation
    Working Papers, Czech National Bank, Research Department View citations (4)

2001

12. Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy
    Archive of Monetary Policy Division Working Papers, Czech National Bank

2000

13. Monetary Transmission and Asset-Liability Management by Financial Institutions in Transitional Economies - Implications for Czech Monetary Policy
    Archive of Monetary Policy Division Working Papers, Czech National Bank

1999

14. Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy
    Archive of Monetary Policy Division Working Papers, Czech National Bank
    See also Journal Article in Bulletin of the Czech Econometric Society (1999)

Journal Articles

2012

1. Financial frictions and real implications of macroprudential policies
   Financial Markets and Portfolio Management, 2012, 26, (3), 333-368
2. PARENT INFLUENCE ON LOAN PRICING BY CZECH BANKS
   Prague Economic Papers, 2012, 2012, (4), 434-499 View citations (2)

2011

3. Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit
   Czech Journal of Economics and Finance (Finance a uver), 2011, 61, (1), 92-116 View citations (4)

2008

4. Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic
   Emerging Markets Finance and Trade, 2008, 44, (1), 117-130 View citations (6)
   See also Working Paper (2004)

2007

5. Cross-Border Risk Transmission by a Multinational Bank
   Czech Economic Review, 2007, 1, (1), 87-111 View citations (5)
   See also Working Paper (2005)

2006

6. Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)
   Czech Journal of Economics and Finance (Finance a uver), 2006, 56, (7-8), 318-343 View citations (1)

2004

7. Asset return dynamics and the FX risk premium in a decentralized dealer market
   European Economic Review, 2004, 48, (4), 747-784 View citations (6)

2003

8. Dealer Quotes, Order Flow and Indirect Foreign Currency Utility in a Multiple Dealership Market
   Bulletin of the Czech Econometric Society, 2003, 10, (19)

2002

9. Producer Subsidies And Adverse Selection In The Corporate Credit Market
   Bulletin of the Czech Econometric Society, 2002, 9, (15)
10. The uncovered parity properties of the czech koruna
    Prague Economic Papers, 2002, 2002, (1) View citations (3)

2001

11. Equilibrium Asset Prices in a Continuous Time Portfolio Optimization Model with Decentralized Dealership Markets
    Bulletin of the Czech Econometric Society, 2001, 8, (13)

2000

12. Continuous Time Decision-Making in a Partially Decentralized Multiple Dealership Forex Market and Equilibrium Exchange Rate
    Bulletin of the Czech Econometric Society, 2000, 7, (12) View citations (1)
13. The Asset-Liability Management Aspects of Monetary Transmission in Transitional Economies: the Czech and the Austrian Credit Channels
    Bulletin of the Czech Econometric Society, 2000, 7, (11)

1999

14. Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift
    Bulletin of the Czech Econometric Society, 1999, 6, (9)
15. Generalized Asset Return Parity And The Exchange Rate In A Financially Open Economy
    Bulletin of the Czech Econometric Society, 1999, 6, (10) View citations (2)
    See also Working Paper (1999)

1998

16. Precautionary Saving And Currency Substitution In An Optimizing Model Of The Czech Economy
    Bulletin of the Czech Econometric Society, 1998, 5, (8)

1996

17. A Shadow Asset Pricing Approach to the Analysis of Financial Markets' Equilibria in an Open Economy
    Bulletin of the Czech Econometric Society, 1996, 3, (5)
18. Adjoint Equations in Stochastic Optimal Control and Application to Portfolio Optimization with Borrowing Constraints
    Bulletin of the Czech Econometric Society, 1996, 3, (4)

1995

19. Bayesian Capital Markets and Currency Crises
    Bulletin of the Czech Econometric Society, 1995, 2, (3)

Books

2012

1. Financial Stability and Monetary Policy, vol 10
   Occasional Publications - Edited Volumes, Czech National Bank, Research Department View citations (1)

2011

2. Macro-Financial Linkages: Theory and Applications, vol 9
   Occasional Publications - Edited Volumes, Czech National Bank, Research Department

2007

3. CNB Economic Research Bulletin: Financial Stability in a Transforming Economy, vol 5
   Occasional Publications - Edited Volumes, Czech National Bank, Research Department

2005

4. CNB Economic Research Bulletin: Financial Stability, vol 3
   Occasional Publications - Edited Volumes, Czech National Bank, Research Department View citations (1)

Chapters

2005

1. Business cycle, credit risk and economic capital determination by commercial banks
   A chapter in Investigating the relationship between the financial and real economy, 2005, vol. 22, pp 299-327 View citations (2)