SUERF Policy Notes & Briefs offer accessible and concise, high-quality, authoritative and informed analysis on topical issues related to European money and finance. They make research by SUERF Member institutions and academic researchers available to the SUERF network and beyond. SUERF Policy Notes & Briefs are published weekly on the SUERF webpage. The views expressed are those of the author(s) and not necessarily those of the institution(s) the author(s) is/are affiliated with.
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|Nov 2023||Policy Brief||No 733||Superkurtosis: High-frequency trading and risk management||Stavros Degiannakis, George Filis, Grigorios Siourounis|
|Feb 2023||Policy Brief||No 517||Stock Return Predictability: Comparing Macro- and Micro-Approaches||Arthur Stalla-Bourdillon|
|Nov 2022||Policy Brief||No 466||Price-at-risk: systemic risk from price-impact induced contagion||Gábor Fukker, Michiel Kaijser, Luca Mingarelli, Matthias Sydow|
|Sep 2022||Policy Brief||No 410||Should we trust the credit decisions provided by machine learning models?||Andrés Alonso, José Manuel Carbó|
|Sep 2022||Policy Brief||No 409||A model of system-wide stress simulation: market-based finance and the COVID-19 event||Giovanni di Iasio, Giulio Nicoletti, Nicholas Vause|
|Jul 2022||Policy Brief||No 364||Uncertainty, non-linear contagion and the credit quality channel: an application to the Spanish interbank market||Adrian Carro, Patricia Stupariu|
|Mar 2022||Policy Brief||No 295||How do Asian central banks use big data? Insights from an Irving Fisher Committee survey||Giulio Cornelli, Sebastian Doerr, Leonardo Gambacorta, Bruno Tissot|
|Apr 2021||Policy Brief||No 67||How do central banks use big data and machine learning?||Sebastian Doerr, Leonardo Gambacorta, Jose Maria Serena|
|Feb 2021||Policy Note||No 225||Sharing Economy in the Financial Industry: A Platform Approach towards Sharing in Regulatory Reporting using the Shapley Value||Aaron Janowski, Moritz Plenk, Mirko Haselwander|
|Feb 2021||Policy Note||No 221||The future of data collection & data management: Agile RegOps for digitalizing the regulatory value chain||Martina Drvar, Johannes Turner, Maciej Piechocki, Eric Stiegeler, Daniel Münch|
|Dec 2020||Policy Note||No 210||On the risk-adjusted performance of machine learning models in credit default prediction||Andres Alonso, Jose Manuel Carbo|
|Apr 2019||Policy Note||No 65||A New Horizon||Mark Carney|