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Publications - Alexis Derviz


Books and chapters (1)
1. * Alexis Derviz: Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks. Financial Aspects of Recent Trends in the Global Economy, 38-56. Asers Publishers, Craiova 2013.   Download

Journal articles (20)
1. * Alexis Derviz: Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks. Journal of Financial Stability 14, 23-34. Elsevier.   Download
2. * Alexis Derviz, M. Raková: Parent Influence on Loan Pricing by Czech Banks. Prague Economic Papers 21:4 (2012), 434-449. Vysoká škola ekonomická v Praze.   Download
3. * Alexis Derviz: Financial Frictions and Real Implications of Macroprudential Policies. Financial Markets and Portfolio Management 3:26 (2012), 333-368.   Download
4. * Alexis Derviz: Information, Sentiment, and Price in a Fast Order-Driven Market. IUP Journal of Financial Risk Management 8:3 (2011), 43-75.   Download
5. * Alexis Derviz: Real Implications of Bursting Asset Price Bubbles in Economies with Bank Credit. Finance a úvěr-Czech Journal of Economics and Finance 61:1 (2011), 92-116. Univerzita Karlova v Praze.
6. * Alexis Derviz, J. Podpiera: Lending Behavior of Multinational Bank Affiliates. Risk Governance and Control: Financial Markets & Institutions 1:1 (2011), 19-36.   Download
7. * Alexis Derviz: Funding Costs and Loan Pricing by Multinational Bank Affiliates. Working Paper CNB 9:9 (2009), 1-48.   Download
8. * Alexis Derviz, J. Podpiera: Predicting Bank CAMELS and S&P Ratings. The Case of Czech Republic. Emerging Markets Finance and Trade 44:1 (2008), 87-101.
9. * J. Brůha, Alexis Derviz: Macroeconomics factors and the balanced value of the Czech Koruna/Euro Exchange rate. Finance a úvěr-Czech Journal of Economics and Finance 56, 318-343. Univerzita Karlova v Praze.
10. * Alexis Derviz: Asset Return Dynamics and the FX Risk Premium in a Decentralized Dealer Market. European Economic Review 48:4 (2004), 747-784. Elsevier.
11. * Alexis Derviz: The uncovered parity properties of the Czech Koruna. Prague Economic Papers 11:1 (2002), 17-37. Vysoká škola ekonomická v Praze.
12. * Alexis Derviz: Equillibrium asset prices in a continuous time portfolio optimization model with decentralized dealership markets. Bulletin of the Czech Econometric Society 7:13 (2001), 43-72.
14. * Alexis Derviz: Generalized asset return parity and the exchange rate in a financially open economy. Bulletin of the Czech Econometric Society 6:10 (1999), 67-102.
15. * Alexis Derviz: Currency options and trade smoothing under an exchange rate regime collapse. Bulletin of the Czech Econometric Society 6:9 (1999), 19-56.
16. * Alexis Derviz, J. Klacek: Precautionary saving and currency substitution in an optimizing model of the Czech economy. Bulletin of the Czech Econometric Society 5:5 (1998), 97-112.
17. * Alexis Derviz: Bayesian capital markets and currency crises. Bulletin České ekonometrické společnosti, 1-25.
19. * Alexis Derviz: A SIMULA Picture of a Money-Flows Model. SIMULA Newsletter 19:1 (1991), 5-8.
20. * Alexis Derviz, Pavel Kolář: A Note on Simulation of Interacting Parallel Processes in SIMULA. SIMULA Newsletter 18:1 (1990), 11-13.

Conference papers (12)
1. * Alexis Derviz: Shadow asset prices and equilibria under restriction on portfolio composition and adjustment speed. Quantitative Methods in Finance 1997, 80-116. Westpac, Sydney 1997.
2. * Alexis Derviz: Shadow prices and equilibria in production, export, import and investment of an open economy. Exchange Rate Movements and the Real Economy, 45-66. Bank of Greece, Athens 1997.
3. * Alexis Derviz, J. Weinberger: Network Simulations for Managerial Decisions. Vybrané problémy simulačních modelů, 50-52. VŠB, Ostrava 1993.
4. * Alexis Derviz: Strategies and Decisions in Economic Petri Nets. Second European Congress on Systems Science, 945-952. Afcet, Paris 1993.
5. * Alexis Derviz: Simulation of Demand-Oriented Nets of Economic Agents in a Semiaggregated Environment. Acta MOSIS. 51. Modelling and Simulation of Systems, 119-128. House of Technology, Ostrava 1993.
6. * Alexis Derviz: Manufacturing Company Investment Policies on Three Levels of SIMULA Data Structures. Proceedings of the 18th Association of SIMULA User's Conference, 65-90. University of Groningen, Groningen 1992.
7. * Alexis Derviz, J. Weinberger: Simulation of Economic Models and Other Stochastic Differential Systems on LOGOS/LOGO. Proceedings of EUROLOGO '91, -. , Parma 1991.
8. * Alexis Derviz: Modelling economic systems in SIMULA. Proceeding of the 17th SIMULA Users Conference, 17-20. Association of SIMULA Users, Plzeň 1990.
9. * Alexis Derviz, J. Weinberger: Antagonistická ekonomická hra založená na kombinované simulaci v jazyce LOGOS. Vybrané problémy simulačních modelů, 64-66. ČSVTS, Ostrava 1990.
10. * Alexis Derviz: SIMULA a Petriho sítě při simulaci spojovacích systémů. Modelování a simulace systémů, 53-57. Dům techniky ČSVTS, Ostrava 1990.
11. * Alexis Derviz, Pavel Kolář: O modelech číslicového řízení spojovacího procesu. Projektování, realizace a provoz mikropočítačových systémů teleinformatiky, 211-215. Dům techniky ČSVTS, Brno 1990.
12. * Alexis Derviz: Simulace řízení spojovacího pole telefonní ústředny -. Vybrané problémy simulačních modelů, 22-24. ČSVTS, Ostrava 1989.

Other publications (17)
1. * Alexis Derviz: Bubbles, Bank Credit, and Macroprudential Policies. ECB Working Paper Series 1551. European Central Bank, Frankfurt a. M 2013.   Download
2. * Alexis Derviz, J. Podpiera: Cross-Border Lending Contagion in Multinational Banks. Working Paper Series 9. Czech National Bank, Praha 2006.   Download
3. * Alexis Derviz, N. Kadlčáková: Business Cycle, Credit Risk and Economic Capital Determination by Commercial Banks. Research Report 22. Bank for International Settlements, Basel 2005.
4. * Alexis Derviz: Exchange Rate Risks and Asset Prices in a Small Open Economy. Research Report 314. European Central Bank, Frankfurt am Main 2004.
6. * Alexis Derviz: Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market. Research Report 4. Česká Národní Banka, Praha 2003.
7. * Alexis Derviz, N. Kadlčáková, L. Kobzová: Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio. Research Report 9. Czech National Bank, Praha 2003.
8. * Alexis Derviz, N. Kadlčáková: Strategic Outcomes of Credit Negotiation and Prudential Capital Regulations. Research Report 82. CERGEEI, Praha 2002.
9. * Alexis Derviz, N. Kadlčáková: Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy. Research Report 39. ČNB, Praha 2001.
10. * Alexis Derviz: Adjoint Processes of the Portfolio Optimization Problem and Equilibrium Asset Prices. Research Report 1954. ÚTIA AV ČR, Praha 1999.
11. * Alexis Derviz: A Shadow Asset Pricing Approach to the Analysis of Financial Markets' Equilibria in an Open Economy. Research Report 1886. ÚTIA AV ČR, Praha 1996.
12. * Alexis Derviz: Transition Economies: Dynamic Bargaining in New Markets. CERGEEI, Prague 1995.
13. * Alexis Derviz: Structural Change, Bargaining and Learning. University of California, Santa Cruz 1994.
14. * Alexis Derviz: Evolutionary Strategies in Network Models of Industrial Dynamics. University of Economics and Business, Athens 1993.
15. * Alexis Derviz: Ivestment and Knowledge Transfer in a MOSES Economy. An Approach Based on Net Theory and Object Oriented Programming. Research Report 421. Industriens Utreduings Institut, Stockholm 1992.
16. * Alexis Derviz: Nested Exchange Diagrams for Economic Modeling. The Royal Institute of Technology, Stockholm 1992.
17. * Alexis Derviz: Net Based Models for Managerial Policies. The Royal Institute of Technology, Stockholm 1992.