Details about Alexis Derviz

Access statistics for papers by Alexis Derviz.

Last updated 2020-04-23. Update your information in the RePEc Author Service.

Short-id: pde319

Working Papers

2019

1. Coexistence of Physical and Crypto Assets in a Stochastic Endogenous Growth Model
   Working Papers, Czech National Bank, Research and Statistics Department View citations (1)

2016

2. Credit Constraints and Creditless Recoveries: An Unsteady State Approach
   Working Papers, Czech National Bank, Research and Statistics Department
3. Understanding the weakness in global trade - What is the new normal?
   Occasional Paper Series, European Central Bank View citations (25)

2015

4. Capital Regulation in a Macroeconomic Model with Three Layers of Default
   Working Papers, Banco de Portugal, Economics and Research Department View citations (194)
   Also in Working Paper Series, European Central Bank (2015) View citations (201)
   Working Papers, CEMFI (2014) View citations (42)
   Working papers, Banque de France (2014) View citations (31)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (26)
   See also Journal Article Capital Regulation in a Macroeconomic Model with Three Layers of Default, International Journal of Central Banking, International Journal of Central Banking (2015) View citations (192) (2015)

2013

5. Bubbles, bank credit and macroprudential policies
   Working Paper Series, European Central Bank View citations (4)
6. Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks
   Working Papers, Czech National Bank, Research and Statistics Department
   See also Journal Article Collateral composition, diversification risk, and systemically important merchant banks, Journal of Financial Stability, Elsevier (2014) View citations (9) (2014)

2012

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

2011

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

2009

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

2007

10. Cross-border lending contagion in multinational banks
    Working Paper Series, European Central Bank View citations (13)
    Also in Working Papers, Czech National Bank, Research and Statistics Department (2006) View citations (12)
11. 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

12. 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 Cross-Border Risk Transmission by a Multinational Bank, Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2007) View citations (5) (2007)

2004

13. Exchange rate risks and asset prices in a small open economy
    Working Paper Series, European Central Bank View citations (7)
14. Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic
    Working Papers, Czech National Bank, Research and Statistics Department View citations (9)
    See also Journal Article Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic, Emerging Markets Finance and Trade, Taylor & Francis Journals (2008) View citations (13) (2008)

2003

15. Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market
    Working Papers, Czech National Bank, Research and Statistics Department View citations (6)
16. Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio
    Working Papers, Czech National Bank, Research and Statistics Department View citations (2)
17. FOREX Microstructure, Invisible Price Determinants,and the Central Bank's Understanding of Exchange Rate Formation
    Working Papers, Czech National Bank, Research and Statistics Department View citations (5)

2001

18. Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy
    Archive of Monetary Policy Division Working Papers, Czech National Bank View citations (1)

2000

19. 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 View citations (1)

1999

20. Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy
    Archive of Monetary Policy Division Working Papers, Czech National Bank View citations (3)

Journal Articles

2015

1. Capital Regulation in a Macroeconomic Model with Three Layers of Default
   International Journal of Central Banking, 2015, 11, (3), 9-63 View citations (192)
   See also Working Paper Capital Regulation in a Macroeconomic Model with Three Layers of Default, Working Papers (2015) View citations (194) (2015)

2014

2. Collateral composition, diversification risk, and systemically important merchant banks
   Journal of Financial Stability, 2014, 14, (C), 23-34 View citations (9)
   See also Working Paper Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks, Working Papers (2013) (2013)
3. Macroprudential capital tools: assessing their rationale and effectiveness
   Financial Stability Review, 2014, (18), 183-194 View citations (3)

2012

4. Financial frictions and real implications of macroprudential policies
   Financial Markets and Portfolio Management, 2012, 26, (3), 333-368 View citations (1)
5. Parent Influence on Loan Pricing by Czech Banks
   Prague Economic Papers, 2012, 2012, (4), 434-449 View citations (6)

2011

6. 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 (7)

2008

7. 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 (13)
   See also Working Paper Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic, Working Papers (2004) View citations (9) (2004)

2007

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

2006

9. 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

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

2002

11. The uncovered parity properties of the czech koruna
    Prague Economic Papers, 2002, 2002, (1), 17-37 View citations (3)

Books

2014

1. Macroprudential Research: Selected Issues, vol 12
   Occasional Publications - Edited Volumes, Czech National Bank, Research and Statistics Department

2012

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

2011

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

2007

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

2005

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

Chapters

2020

1. Stablecoins - a gateway between conventional and crypto financial universes?
   A chapter in CNB Global Economic Outlook - March 2020, 2020, pp 12-16 View citations (2)

2019

2. What changes in financial intermediation are to be expected from fintech?
   A chapter in CNB Global Economic Outlook - August 2019, 2019, pp 12-17 View citations (1)

2015

3. Collateral and the Role of International Merchant Banks in the Spread of Aggregate Risks
   Chapter Thematic Article 5 in CNB Financial Stability Report 2014/2015, 2015, pp 146-154

2005

4. 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)