Esa Jokivuolle, Senior Research Adviser, Research Unit

Address
Snellmaninaukio
00170 HELSINKI
FINLAND
Telephone
010 831 2309 (national),
+358 10 831 2309 (international)
 
Postal address
PO Box 160
FI – 00101 HELSINKI 
FINLAND
Fax
010 831 2294 (national),
+358 10 831 2294 (international)
 
Email
Firstname.Lastname@bof.fi​
 

 Presentation

 

Esa Jokivuolle is Senior Research Adviser in the Research Unit of the Monetary Policy and Research Department.

 

 CV

 

Education

M.Pol.Sc. (Economics), University of Helsinki, 1990
Ph.D. (Finance), University of Illinois at Urbana-Champaign, 1996

 

Work experience

Adjunct Professor (Finance) since 2001, full-time visiting in 2002–3 and 2011, Aalto University School of Economics (former Helsinki School of Economics)
Research Adviser, Department of Monetary Policy and Research, Bank of Finland, 2005– (on leave of absence during 2011)
Project Supervisor, Financial Markets and Statistics Department, Bank of Finland, 1999–2005
Senior Quantitative Analyst, Leonia Ltd (former Postipankki Ltd), 1997–1999
Researcher, 1996, assistant/tutor 1990–1991 and 1994–1995, University of Helsinki

 

 Selected publications

 

Articles in refereed journals

Does a Leverage Ratio Requirement Increase Bank Stability? (with Ilkka Kiema)
Journal of Banking and Finance, February 2014, Vol. 39, pp. 240–254

Why do we need counter-cyclical capital requirements?
Forthcoming in Journal of Financial Services Research (with Ilkka Kiema and Timo Vesala)

Cyclical default and recovery in stress testing loan losses
Forthcoming in Journal of Financial Stability (with Matti Virén)

Rating Targeting and Dynamic Economic Capital
Journal of Risk, Summer 2010, Vol. 12, No. 4: 3-13 (with Samu Peura)

Trading Nokia: The roles of the Helsinki vs the New York stock exchanges  
The Finnish Journal of Business Economics, 3/2005 (with Markku Lanne)

Simulation Based Stress Tests of Banks' Regulatory Capital Adequacy
Journal of Banking and Finance, September 2004 (with Samu Peura as the first author)
(received the Iddo Sarnat Annual Memorial Award for the best paper published in the Journal of Banking and Finance, Volume 28, 2004)

Incorporating Collateral Value Uncertainty in Loss-Given-Default Estimates and Loan-to-Value Ratios
European Financial Management, September 2003 (with Samu Peura)

Regulatory Capital Volatility
Risk, May 2001 (with Samu Peura)

Pricing European Options on Autocorrelated Indexes
Journal of Derivatives, Winter 1998 

Measuring True Stock Index Value in the Presence of Infrequent Trading
Journal of Financial and Quantitative Analysis, Vol. 30, No. 3, September 1995
 

Articles in scientific books

Transmission of Macro Shocks to Loan Losses in a Deep Crisis: The Case of Finland
Model Risk – Identification, Measurement and Management, Ed. D. Rösch and H. Scheule, Risk Books 2010 (with Matti Virén and Oskari Vähämaa)

Macro Model-Based Stress Testing of Basel II Capital Requirements
Stress-Testing for Financial Institutions – Applications, Regulations and Techniques, Ed. D. Rösch and H. Scheule, Risk Books, 2008 (with Kimmo Virolainen and Oskari Vähämaa)

Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital and to Pillar 2 Stress Tests
The Basel Handbook (2nd edition): A Guide for Financial Practitioners. Ed. Michael Ong, Risk Books 2007 (with Samu Peura)

Aligning Regulatory Capital with Economic Capital
Risk Management: A Modern Perspective (ed. Michael Ong), Elsevier 2006

LGD in a Structural Model of Default
Recovery Risk (ed. Altman, Resti and Sironi), Risk Books, 2005 (with Samu Peura)

Stress Tests of Banks' Regulatory Capital Adequacy: Application to Tier 1 Capital
The Basel Handbook: A Guide for Financial Practitioners. Ed. Michael Ong, Risk Books, London, 2004 (with Samu Peura)  

Work in progress

Ilkka Kiema – Esa Jokivuolle: Leverage Ratio Requirement and Credit Allocation Under Basel III
University of Helsinki, Department of Economics Discussion Paper 645:2010, December 9, 2010

Esa Jokivuolle – Ilkka Kiema – Timo Vesala: Credit Allocation, Capital Requirements and Output
(BoF DP 17/2010)

Esa Jokivuolle – Juha Kilponen – Tero Kuusi: GDP at Risk in a DSGE Model: An Application to Banking Sector Stress testing
(BoF DP 26/2007)

Other publications

Introduction to the Special Issue on Housing markets – a shelter from the storm or cause of the storm?
Journal of Financial Stability, Volume 6, Issue 4, December 2010, pp. 187–188