Marius Rodriguez


Financial Research

Credit risk, Supervisory ratings, Financial volatility

Marius.Rodriguez (at)


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Show less Current Unpublished Working Papers

Credit Valuation Adjustments for Interest Rate Portfolios
Work in Progress | May 2011

Asset Value Correlation in a Financial Portfolio
Work in Progress | With Calem | May 2011

The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability
2013-20 | With WU | September 2013

+ abstract
Has the recent wave of capital controls and prudential foreign exchange (FX) measures been e¤ective in promoting exchange rate stability? We tackle this question by study- ing a panel of 25 countries/currencies from July 1, 2009, to June 30, 2011. We calculate daily measures of exchange rate volatility, absolute crash risk, and tail risk implied in currency option prices, and we construct indices of capital controls and prudential FX measures taking into account the exact date when policy changes are implemented. Using a di¤erence-in-di¤erences approach, we …nd evidence that (i) tightening controls on non- residents suppresses daily exchange rate ‡uctuations at the cost of increasing the frequency of outliers, (ii) easing controls on residents truly improves exchange rate stability over all dimensions, and (iii) tightening prudential FX measures not speci…c to derivative markets reduces absolute crash risk and tail risk, with no e¤ect on volatility.

Show less Published Articles (Refereed Journals and Volumes)

Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons
Forthcoming in Essays in Nonlinear Time Series Econometrics, ed. by Niels Haldrup Mika Meitz Pentti Saikkonen. Festschrift | With Aiolfi and Timmermann

+ abstract
Financial analysts’ earnings forecasts are upwards biased with a bias that gets big- ger, the longer the forecast horizon. One explanation of this bias is that it reflects asymmetric loss of positive and negative forecast errors: A positive bias may benefit analysts but also compromises the accuracy of their forecasts, especially at short hori- zons. We use the linex loss function proposed by Varian (1975) and show that this model can generate a monotonicall
+ supplement

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios
Forthcoming in Journal of Banking and Finance | With Aramonte and Wu

+ abstract
We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatility and correlations by bringing together the established historical simulation framework and recent contributions to the dynamic factor models literature. We find that the proposed methodology performs well relative to widely used VaR methodologies, and is a significant improvement from a computational point of view.

Understanding Analysts’ Earnings Expectations: Biases, Nonlinearities, and Predictability
Journal of Financial Econometrics 8(3), Summer 2010, 305-334 | With Aiolfi and Timmermann

+ abstract
This paper studies the asymmetric behavior of negative and positive values of analysts’ earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of lognormal models that accounts for differences in the magnitude and persistence of positive, negative, and zero revisions, we find evidence that revisions to analysts’ earnings expectations can be predicted using publicly available information such as lagged interest rates and past revisions. We also find that our forecasts of revisions to analysts’ earnings estimates help to predict the actual earnings figure beyond the information contained in analysts’ earnings expectations.