Diego Caballero
Risk Management
- Division
-
Risk Analysis
- Current Position
-
Financial Risk Expert
- Fields of interest
-
Mathematical and Quantitative Methods,Financial Economics
- Education
- 2016
Ph.D. Physics, Yale University, New Haven, USA
- 2013
M.Phil. Physics, Yale University, New Haven, USA
- 2011
M.S. Physics, Yale University, New Haven, USA
- 2010
B.S. Physics, Rice University, Houston, USA
- 25 January 2019
- WORKING PAPER SERIES - No. 2225Details
- Abstract
- We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such operations. The framework accommodates a large number of bank and sovereign counterparties, joint tail dependence, skewness, and time-varying dependence parameters. In an application to selected items from the consolidated Eurosystem's weekly balance sheet between 2009 and 2015, we find that unconventional monetary policy operations generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some policy operations reduced rather than increased overall risk.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models
- 26 September 2019
- RESEARCH BULLETIN - No. 62Details
- Abstract
- This article studies this question by revisiting the Eurosystem's experience during the euro area sovereign debt crisis between 2010 and 2012. In some instances, the Eurosystem was able to remove excess risk from parts of its balance sheet by extending the scale of its operations, in line with Bagehot's well-known assertion that occasionally "the brave plan is the safe plan."
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models - Network
- Research Task Force (RTF)
- 2019
- Journal of Monetary Economics