My primary interests are empirical asset pricing, empirical macroeconomics, operational risk, interest rate risk and econometrics.
Azamat Abdymomunov is a lead financial economist and a team leader. He joined the Federal Reserve Bank of Richmond in 2010. Previously, he had been an economist with the World Bank and an economist and division chief with the National Bank of the Kyrgyz Republic, that country’s central bank. He has written or co-authored papers examining term structure of interest rates, CAPM, financial stress and stress testing.
Ph.D., Washington University in St. Louis, 2010
M.A., Washington University in St. Louis, 2007
B.A., The Kyrgyz National Technical University, 1993
“Stress Testing Interest Rate Risk Exposure” (with Jeff Gerlach), Journal of Banking and Finance (forthcoming).
“The Effects of Monetary Policy Regime-Shifts on the Term Structure of Interest Rates” (with Kyu Ho Kang), Studies in Nonlinear Dynamics & Econometrics (forthcoming).
“Integrating stress scenarios into risk quantifcation models” (with Sharon Blei and Bakhodir Ergashev), Journal of Financial Services Research (forthcoming).
“Predicting Output Using the Entire Yield Curve,” Journal of Macroeconomics 37, (2013): 333–344.
“Regime-Switching Measure of Systemic Financial Stress,” Annals of Finance 9, (2013): 455–470.
“Time-Variation of CAPM Betas across Market Volatility Regimes” (with James Morley), Applied Financial Economics 19, (2011): 1463–1478.
“Banking Sector Operational Losses and Macroeconomic Environment” (with Patrick Schorno), 2014.
“Forecasting the Term Structure of Government Bond Yields Using Information in Credit Spreads and Accounting for Structural Breaks” (with Kyu Ho Kang and Ki Jeong Kim), 2014.
“Banking Sector Operational Losses and Macroeconomic Environment.” Federal Reserve Internal Stress Test Model Conference, Federal Reserve Bank of Boston, Boston, MA, June 24, 2014.
“Stress Testing Interest Rate Risk Exposure.” Quantitative Congress, Supervision and Regulation, Federal Reserve Bank of Chicago, Chicago, IL, May 2, 2014.
“Stress Testing Interest Rate Risk Exposure.” Seminar, Research Department of the Federal Reserve Bank of San Francisco, San Francisco, CA, October 1, 2013.
“Predicting Output Using the Entire Yield Curve.” The 32nd Annual International Symposium on Forecasting, Boston, MA, June 25-27, 2012.
“Regime-Switching Measure of Systemic Financial Stress.” 2012 Global Finance Conference, Chicago, IL, May 24-25, 2012.
Discussion of "The Information Content of Scenario Analysis Data in Operational Risk: Data Combination" by Alexander Cavallo and Benhamin Rosenthal. American Bankers Association Operational Risk Modeling Forum, Charlotte, NC, August 10-11, 2011.
“Worst-case Scenarios as a Stress Testing Tool for Risk Models.” Quant Forum held at the Office of the Comptroller of the Currency, Washington, DC, June 2-3, 2011.
“The Effects of Monetary Policy Regime - Shifts on the Term Structure of Interest Rates." 2011 American Economic Association Meeting, Denver, CO, January 7-9, 2011.
“The Effects of Monetary Policy Regime - Shifts on the Term Structure of Interest Rates." 10th Annual Missouri Economic Conference, Federal Reserve Bank of St. Louis, MO, March 26-27, 2010.
“Predicting Output and Inflation Using the Entire Yield Curve.” 2009 Midwest Macroeconomics Meeting, Indiana University, Bloomington, IN, May 15-17, 2009.
“Predicting Output and Inflation Using the Entire Yield Curve." 9th Annual Missouri Economic Conference, Federal Reserve Bank of St. Louis, MO, March 27-28, 2009.
“Time-Variation of CAPM Betas across Market Volatility Regimes.” 46th Annual Missouri Valley Economic Association Annual Conference, Kansas City, MO, October 22-24, 2009.
"Kyrgyz Republic: Country Economic Memorandum: Enhancing the Prospects for Growth and Trade" (with Sebnem Akkaya, et al.). World Bank Report No. 29150-KG, January 24, 2005.
"Kyrgyz Republic: Public Expenditure Review: Fiscal Policies for Growth and Poverty Reduction" (with Pedro L. Rodriguez, et al.). World Bank Report No. 28123-KG, March 22, 2004.
"Kyrgyz Republic: Enhancing Pro-poor Growth" (with Radwan Shaban, et al.). World Bank Report No. 24638-KG, September 30, 2003.
"Kyrgyz Republic: Fiscal Sustainability Study" (with Ritu Anand, et al.). A World Bank Country Study, no. 23404, December 2001.
“The issues of development of the Kyrgyz economy.” The Kyrgyz National University, 2001.
“Methodology of balance of payments compilation in the Kyrgyz Republic.” Banking Herald, 1995.