Details about Jorge Chan-Lau

Access statistics for papers by Jorge Chan-Lau.

Last updated 2023-10-08. Update your information in the RePEc Author Service.

Short-id: pch49

Working Papers

2021

1. Scenario Analysis with the DD-PD Mapping Approach: Stock Market Shocks and U.S. Corporate Default Risk
   IMF Working Papers, International Monetary Fund

2020

2. Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures
   IMF Working Papers, International Monetary Fund View citations (2)
3. UnFEAR: Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification
   IMF Working Papers, International Monetary Fund

2017

4. ABBA: An Agent-Based Model of the Banking System
   IMF Working Papers, International Monetary Fund View citations (9)
5. Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis
   IMF Working Papers, International Monetary Fund View citations (2)
   See also Journal Article Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis, Asia-Pacific Financial Markets, Springer (2017) View citations (2) (2017)
6. Bottom-Up Default Analysis of Corporate Solvency Risk: An Application to Latin America
   IMF Working Papers, International Monetary Fund View citations (1)
7. Lasso Regressions and Forecasting Models in Applied Stress Testing
   IMF Working Papers, International Monetary Fund View citations (6)
8. Variance Decomposition Networks: Potential Pitfalls and a Simple Solution
   IMF Working Papers, International Monetary Fund View citations (21)

2013

9. Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
   Discussion Papers, Deutsche Bundesbank View citations (1)
   Also in IMF Working Papers, International Monetary Fund (2012) View citations (11)
   See also Journal Article Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis, Journal of Financial Stability, Elsevier (2015) View citations (26) (2015)
10. Market-Based Structural Top-Down Stress Tests of the Banking System
    IMF Working Papers, International Monetary Fund View citations (3)

2012

11. Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System
    IMF Working Papers, International Monetary Fund View citations (16)
12. Dynamic Loan Loss Provisioning: Simulationson Effectiveness and Guide to Implementation
    IMF Working Papers, International Monetary Fund View citations (20)

2011

13. Policy Instruments to Lean Against the Wind in Latin America
    IMF Working Papers, International Monetary Fund View citations (52)

2010

14. Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems
    IMF Working Papers, International Monetary Fund View citations (33)
15. Public Debt Sustainability and Management in a Compound Option Framework
    IMF Working Papers, International Monetary Fund View citations (4)
16. Regulatory Capital Charges for Too-Connected-to-Fail Institutions: A Practical Proposal
    IMF Working Papers, International Monetary Fund View citations (50)
17. The Global Financial Crisis and its Impact on the Chilean Banking System
    IMF Working Papers, International Monetary Fund View citations (11)

2009

18. Recent Advances in Credit Risk Modeling
    IMF Working Papers, International Monetary Fund View citations (10)

2007

19. Contagion Risk in the International Banking System and Implications for London As a Global Financial Center
    IMF Working Papers, International Monetary Fund View citations (19)
20. Equity and Private Debt Markets in Central America, Panama, and the Dominican Republic
    IMF Working Papers, International Monetary Fund View citations (3)

2006

21. Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
    IMF Working Papers, International Monetary Fund View citations (9)
22. Distance-to-Default in Banking: A Bridge Too Far?
    IMF Working Papers, International Monetary Fund View citations (29)
23. Fundamentals-Based Estimation of Default Probabilities - A Survey
    IMF Working Papers, International Monetary Fund View citations (29)
24. Idiosyncratic and Systemic Risk in the European Corporate Sector: A CDO Perspective
    IMF Working Papers, International Monetary Fund View citations (2)
25. Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices
    IMF Working Papers, International Monetary Fund View citations (5)
26. Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
    IMF Working Papers, International Monetary Fund View citations (22)
27. The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions
    IMF Working Papers, International Monetary Fund View citations (5)

2005

28. Hedging Foreign Exchange Risk in Chile: Markets and Instruments
    IMF Working Papers, International Monetary Fund View citations (11)
29. The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
    IMF Working Papers, International Monetary Fund View citations (38)
30. U.S. Mutual Fund Retail Investors in International Equity Markets: Is the Tail Wagging the Dog?
    IMF Working Papers, International Monetary Fund View citations (1)

2004

31. An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
    IMF Working Papers, International Monetary Fund View citations (42)
32. Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
    IMF Working Papers, International Monetary Fund View citations (55)
33. Hong Kong SAR: Meeting the Challenges of Integration with the Mainland
    IMF Occasional Papers, International Monetary Fund
34. Pension Funds and Emerging Markets
    IMF Working Papers, International Monetary Fund View citations (19)

2003

35. Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
    IMF Working Papers, International Monetary Fund View citations (14)
36. Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
    IMF Working Papers, International Monetary Fund

2002

37. Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
    IMF Working Papers, International Monetary Fund View citations (4)
38. Extreme Contagion in Equity Markets
    IMF Working Papers, International Monetary Fund View citations (1)
    See also Journal Article Extreme Contagion in Equity Markets, IMF Staff Papers, Palgrave Macmillan (2004) View citations (57) (2004)
39. The Corporate Spread Curve and Industrial Production in the United States
    IMF Working Papers, International Monetary Fund View citations (4)

2001

40. Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components
    IMF Working Papers, International Monetary Fund View citations (8)
41. Corporate Restructuring in Japan: An Event-Study Analysis
    IMF Working Papers, International Monetary Fund
    See also Journal Article Corporate restructuring in Japan: an event-study analysis, Japan and the World Economy, Elsevier (2002) View citations (3) (2002)
42. The Impact of Corporate Governance Structures on the Agency Cost of Debt
    IMF Working Papers, International Monetary Fund View citations (3)

2000

43. Tales From Two Neighbors: Productivity Growth in Canada and the United States
    IMF Working Papers, International Monetary Fund View citations (1)

1999

44. Why Has Inflation in the United States Remained So Low? Reassessing the Importance of Labor Costs and the Price of Imports
    IMF Working Papers, International Monetary Fund View citations (10)

1998

45. Financial Crisis and Credit Crunch as a Result of Inefficient Financial Intermediation—with Reference to the Asian Financial Crisis
    IMF Working Papers, International Monetary Fund View citations (25)
    Also in International Finance, University Library of Munich, Germany (1998) View citations (24)
46. Fixed Investment and Capital Flows: A Real Options Approach
    IMF Working Papers, International Monetary Fund
    See also Journal Article Fixed Investments and Capital Flows: A Real Options Approach, Journal of Economic Integration, Center for Economic Integration, Sejong University (2006) View citations (3) (2006)
47. Monetary Policy in a Small Open Economy with Credit Goods Production
    IMF Working Papers, International Monetary Fund

Journal Articles

2020

1. Immunological history governs human stem cell memory CD4 heterogeneity via the Wnt signaling pathway
   Nature Communications, 2020, 11, (1), 1-17 View citations (1)

2017

2. Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis
   Asia-Pacific Financial Markets, 2017, 24, (4), 269-289 View citations (2)
   See also Working Paper Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis, IMF Working Papers (2017) View citations (2) (2017)
3. Bootstrap ARDL on energy-growth relationship for 22 OECD countries
   Applied Economics Letters, 2017, 24, (20), 1464-1467 View citations (25)
4. Financial networks and interconnectedness in an advanced emerging market economy
   Quantitative Finance, 2017, 17, (12), 1833-1858 View citations (10)

2016

5. Cytofkit: A Bioconductor Package for an Integrated Mass Cytometry Data Analysis Pipeline
   PLOS Computational Biology, 2016, 12, (9), 1-17 View citations (13)

2015

6. Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis
   Journal of Financial Stability, 2015, 16, (C), 164-172 View citations (26)
   See also Working Paper Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis, Discussion Papers (2013) View citations (1) (2013)
7. Structural Market-Based Top–Down Stress Tests of the Banking System
   Global Credit Review (GCR), 2015, 05, (01), 35-48 View citations (1)

2008

8. The globalisation of finance and its implications for financial stability: an overview of the issues
   International Journal of Banking, Accounting and Finance, 2008, 1, (1), 3-29 View citations (3)

2006

9. Fixed Investments and Capital Flows: A Real Options Approach
   Journal of Economic Integration, 2006, 21, 816-836 View citations (3)
   See also Working Paper Fixed Investment and Capital Flows: A Real Options Approach, IMF Working Papers (1998) (1998)

2004

10. Extreme Contagion in Equity Markets
    IMF Staff Papers, 2004, 51, (2), 8 View citations (57)
    See also Working Paper Extreme Contagion in Equity Markets, IMF Working Papers (2002) View citations (1) (2002)

2003

11. Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia
    Journal of Multinational Financial Management, 2003, 13, (4-5), 303-322 View citations (19)
12. Corporate restructuring in Japan
    Journal of Financial Transformation, 2003, 7, 85-92

2002

13. A Theoretical Model of Financial Crisis
    Review of International Economics, 2002, 10, (1), 53-63 View citations (8)
14. Corporate restructuring in Japan: an event-study analysis
    Japan and the World Economy, 2002, 14, (4), 367-377 View citations (3)
    See also Working Paper Corporate Restructuring in Japan: An Event-Study Analysis, IMF Working Papers (2001) (2001)

2001

15. Crash-Free Sequencing Strategies for Financial Development and Liberalization
    IMF Staff Papers, 2001, 48, (1), 7 View citations (6)