Contact Information
202-452-3534
matthew.pritsker@frb.gov

Fields of Interest
Asset Pricing
Risk Management
Econometrics and Statistics

Education
Ph.D., Economics, Princeton University, 1992
M.A., Economics, Princeton University, 1988
B.A., Economics, University of Michigan, 1986

Professional Experience
Board of Governors of the Federal Reserve System, 1991-present
Visiting Professor, University of California at Berkeley, January-May 2001
Adjunct Professor of Economics, Georgetown University, 1996-1997

Selected Publications

• ''A Rational Expectations Model of Financial Contagion'' (with Laura E. Kodres), The Journal of Finance, vol. 57 (April 2002), pp. 769-99.
• ''Improving Grid-Based Methods for Estimating Value at Risk of Fixed Income Portfolios'' (with Michael S. Gibson), The Journal of Risk, vol. 3 (Winter 2000/2001), pp. 65-89.
• ''The Channels for Financial Contagion,'' in Stijn Claessens, Kristin J. Forbes, eds., International Financial Contagion. Boston/Dordrecht/London: Kluwer Academic Publishers, 2001.
• ''Nonparametric Density Estimation and Tests of Continuous-Time Interest Rate Models,'' The Review of Financial Studies, vol. 11 (Fall 1998), pp. 449-87.
• ''Evaluating Value at Risk Methodologies: Accuracy versus Computational Time,'' Journal of Financial Services Research, vol. 12 (1997), pp. 201-42.
• ''Liquidity Risk and Positive Feedback,'' in The Measurement of Aggregate Market Risk. Basle: Bank for International Settlements, 1997.
• ''Directionally Similar Position Taking and Herding by Large Futures Market Participants'' (with Laura E. Kodres), in Risk Measurement and Systemic Risk. Washington: Board of Governors of the Federal Reserve System, 1996.
• The Hidden Dangers of Historical Simulation, Finance and Economics Discussion Series 2001-27. Washington: Board of Governors of the Federal Reserve System, 2001.