Working Paper |
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Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? |
0 |
0 |
0 |
358 |
0 |
0 |
2 |
711 |
Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
6 |
1,106 |
An Academic Response to Basel II |
3 |
5 |
22 |
1,472 |
8 |
16 |
70 |
3,189 |
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
0 |
119 |
0 |
0 |
4 |
318 |
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
35 |
Asset Price Dynamics with Value-at-Risk Constrained Traders |
0 |
0 |
1 |
154 |
0 |
1 |
7 |
445 |
Balance Sheet Capacity and Endogenous Risk |
0 |
1 |
11 |
112 |
2 |
5 |
36 |
404 |
Balance sheet capacity and endogenous risk |
0 |
1 |
6 |
37 |
1 |
5 |
22 |
113 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
1 |
3 |
790 |
0 |
5 |
19 |
2,018 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
1 |
524 |
1 |
2 |
8 |
1,411 |
Brexit and systemic risk |
0 |
0 |
0 |
10 |
0 |
0 |
4 |
18 |
Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
1 |
19 |
0 |
1 |
10 |
25 |
Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
37 |
0 |
2 |
7 |
42 |
Challenges in Implementing Worst-Case Analysis |
0 |
0 |
2 |
24 |
0 |
1 |
13 |
25 |
Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
0 |
1 |
8 |
803 |
Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
29 |
Consistent Measures of Risk |
0 |
0 |
0 |
284 |
0 |
1 |
8 |
731 |
Consistent measures of risk |
0 |
0 |
0 |
3 |
0 |
0 |
4 |
38 |
Designating market maker behaviour in Limit Order Book markets |
0 |
0 |
1 |
9 |
0 |
0 |
5 |
26 |
Designating market maker behaviour in limit order book markets |
0 |
0 |
1 |
6 |
0 |
2 |
7 |
18 |
Equilibrium Asset Pricing with Systemic Risk |
0 |
1 |
1 |
203 |
2 |
4 |
14 |
569 |
Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
3 |
0 |
0 |
11 |
50 |
Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
0 |
0 |
5 |
39 |
Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
0 |
2 |
1,613 |
1 |
2 |
16 |
3,856 |
Feedback trading |
0 |
0 |
1 |
7 |
0 |
2 |
15 |
39 |
Highwaymen or heroes: should hedge funds be regulated? |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
32 |
Incentives for Effective Risk Management |
0 |
0 |
0 |
399 |
0 |
0 |
6 |
911 |
Learning from History: Volatility and Financial Crises |
0 |
0 |
4 |
83 |
2 |
3 |
22 |
123 |
Learning from history: volatility and financial crises |
0 |
0 |
2 |
2 |
2 |
2 |
9 |
9 |
Learning from history: volatility and financial crises |
0 |
0 |
1 |
75 |
2 |
2 |
17 |
96 |
Low Risk as a Predictor of Financial Crises |
1 |
2 |
4 |
49 |
1 |
2 |
9 |
49 |
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks |
0 |
0 |
2 |
40 |
0 |
1 |
9 |
22 |
Model Risk of Risk Models |
0 |
0 |
1 |
119 |
0 |
1 |
8 |
125 |
Model risk of risk models |
1 |
1 |
1 |
34 |
1 |
2 |
11 |
46 |
Model risk of risk models |
0 |
0 |
0 |
46 |
0 |
1 |
7 |
78 |
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability |
0 |
0 |
0 |
42 |
0 |
2 |
6 |
179 |
On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
1 |
0 |
1 |
7 |
47 |
On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
1 |
3 |
9 |
402 |
On time-scaling of risk and the square–root–of–time rule |
1 |
1 |
6 |
15 |
1 |
2 |
21 |
86 |
On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
12 |
775 |
8 |
19 |
85 |
3,151 |
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
0 |
245 |
1 |
1 |
9 |
650 |
Political challenges of the macroprudential agenda |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
8 |
Real Trading Patterns and Prices in Spot Foreign Exchange Markets |
0 |
1 |
2 |
500 |
0 |
2 |
8 |
1,797 |
Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
1 |
97 |
0 |
0 |
5 |
168 |
Risk Appetite and Endogenous Risk |
0 |
3 |
26 |
406 |
5 |
14 |
79 |
975 |
Risk Model-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
19 |
Risk model-at-risk |
0 |
0 |
0 |
0 |
1 |
2 |
13 |
43 |
Risk models-at-risk |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
8 |
Risk models-at-risk |
0 |
0 |
0 |
0 |
2 |
4 |
14 |
46 |
Risk models–at–risk |
1 |
1 |
1 |
37 |
2 |
3 |
11 |
87 |
Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
4 |
419 |
5 |
10 |
30 |
1,103 |
Subadditivity re–examined: the case for value-at-risk |
0 |
0 |
1 |
9 |
0 |
0 |
11 |
79 |
Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
0 |
1 |
19 |
1 |
6 |
21 |
28 |
Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
2 |
4 |
3 |
4 |
8 |
663 |
Tail index estimation: quantile driven threshold selection |
0 |
0 |
1 |
8 |
0 |
1 |
5 |
77 |
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor |
0 |
0 |
2 |
164 |
0 |
0 |
4 |
440 |
The Emperor has no Clothes: Limits to Risk Modelling |
0 |
1 |
3 |
722 |
1 |
3 |
12 |
1,770 |
The fatal flaw in macropru: it ignores political risk |
0 |
0 |
1 |
1 |
0 |
0 |
4 |
7 |
The impact of risk regulation on price dynamics |
0 |
0 |
0 |
17 |
1 |
2 |
9 |
76 |
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
441 |
0 |
2 |
12 |
1,774 |
Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
2 |
24 |
0 |
1 |
11 |
132 |
Value-at-Risk and Extreme Returns |
2 |
2 |
10 |
1,291 |
2 |
7 |
37 |
2,975 |
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
210 |
1 |
2 |
10 |
635 |
What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
2 |
7 |
28 |
Why macropru can end up being procyclical |
0 |
0 |
1 |
2 |
0 |
0 |
6 |
11 |
Why risk is so hard to measure |
0 |
0 |
0 |
19 |
0 |
5 |
12 |
83 |
Why risk is so hard to measure |
0 |
0 |
2 |
27 |
0 |
0 |
9 |
71 |
Total Working Papers |
9 |
21 |
148 |
12,873 |
59 |
164 |
899 |
35,167 |