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• Journal Article | Journal of Portfolio Management | winter 2010

  Tribute to Paul A. Samuelson

  Robert C. Merton

  Citation:

  Merton, Robert C. "Tribute to Paul A. Samuelson." Journal of Portfolio Management 36, no. 2 (winter 2010): 1.

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• Chapter | Financial Stability, Monetary Policy, and Central Banking | 2010

  Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework

  Dale F. Gray, Robert C. Merton and Zvi Bodie

  This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise's assets and liabilities to external "shocks." At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees-some explicit and others implicit. Traditional approaches have difficulty analyzing how risks can accumulate gradually and then suddenly erupt in a full-blown crisis. The CCA approach is well-suited to capturing such "non-linearities" and to quantifying the effects of asset-liability mismatches within and across institutions. Risk adjusted CCA balance sheets facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk.

  Keywords: Financial Statements; Economy; Financial Condition; Central Banking; Management Analysis, Tools, and Techniques; Management Practices and Processes; Risk Management; Measurement and Metrics; System Shocks;

  Citation:

  Gray, Dale F., Robert C. Merton, and Zvi Bodie. "Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework." In Financial Stability, Monetary Policy, and Central Banking. Vol. 15, edited by Alfaro A. Rodrigo, and Cifuentes S. Rodrigo., 2010.

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• Journal Article | Pensions Insight | January 2010

  Solutions for the Future

  Robert C. Merton

  Citation:

  Merton, Robert C. "Solutions for the Future." Pensions Insight (January 2010).

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