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Details about Alexis Derviz

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Workplace:Česká Národní Banka (Czech National Bank), (more information at EDIRC)
Ústav teorie informace a automatizace (ÚTIA) (Institute of Information Theory and Automation), Akademie věd České Republiky (Academy of Sciences), (more information at EDIRC)

Access statistics for papers by Alexis Derviz.

Last updated 2013-10-17. Update your information in the RePEc Author Service.

Short-id: pde319


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Working Papers

2013

  1. Bubbles, bank credit and macroprudential policies
    Working Paper Series, European Central Bank Downloads View citations (1)

2012

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

2011

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

2009

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

2007

  1. Cross-border lending contagion in multinational banks
    Working Paper Series, European Central Bank Downloads View citations (6)
    Also in Working Papers, Czech National Bank, Research Department (2006) Downloads View citations (9)
  2. 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 Downloads

2005

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

2004

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

2003

  1. Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market
    Working Papers, Czech National Bank, Research Department Downloads View citations (6)
  2. Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio
    Working Papers, Czech National Bank, Research Department Downloads View citations (2)
  3. FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation
    Working Papers, Czech National Bank, Research Department Downloads View citations (3)

2001

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

2000

  1. 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 Downloads

1999

  1. Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy
    Archive of Monetary Policy Division Working Papers, Czech National Bank Downloads
    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 Downloads
  2. Parent Influence on Loan Pricing by Czech Banks
    Prague Economic Papers, 2012, 2012, (4), 434-499 Downloads View citations (4)

2011

  1. 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 Downloads View citations (5)

2008

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

2007

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

2006

  1. 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 Downloads View citations (1)

2004

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

2003

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

2002

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

2001

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

2000

  1. 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) Downloads View citations (1)
  2. 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) Downloads

1999

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

1998

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

1996

  1. 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) Downloads
  2. Adjoint Equations in Stochastic Optimal Control and Application to Portfolio Optimization with Borrowing Constraints
    Bulletin of the Czech Econometric Society, 1996, 3, (4) Downloads

1995

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

Books

2012

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

2011

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

2007

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

2005

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

Chapters

2013

  1. Collateral Composition, Diversification Risk and Systematically Important Merchant Banks
    Chapter 2 in Financial Aspects of Recent Trends in the Global Economy, 2013, vol. 2, pp 39-56

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 Downloads View citations (1)
 
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