| Working Paper |
File Downloads |
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 |
359 |
0 |
0 |
2 |
718 |
| Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
0 |
1,110 |
| An Academic Response to Basel II |
0 |
0 |
1 |
1,520 |
1 |
3 |
14 |
3,369 |
| Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
1 |
121 |
0 |
1 |
3 |
327 |
| Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
41 |
| Artificial intelligence and systemic risk |
0 |
1 |
2 |
21 |
1 |
2 |
7 |
54 |
| Asset Price Dynamics with Value-at-Risk Constrained Traders |
0 |
0 |
0 |
157 |
0 |
0 |
0 |
457 |
| Asset price dynamics with value-at-risk constrained traders |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Balance Sheet Capacity and Endogenous Risk |
0 |
1 |
3 |
143 |
1 |
2 |
12 |
505 |
| Balance sheet capacity and endogenous risk |
0 |
0 |
0 |
46 |
1 |
3 |
7 |
181 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
528 |
0 |
0 |
0 |
1,427 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
1 |
795 |
1 |
1 |
3 |
2,045 |
| Beyond the sample: extreme quantile and probability estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Brexit and systemic risk |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
25 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
31 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
48 |
| Challenges in Implementing Worst-Case Analysis |
0 |
0 |
0 |
26 |
0 |
1 |
5 |
37 |
| Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
0 |
1 |
3 |
813 |
| Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
35 |
| Consistent Measures of Risk |
0 |
0 |
0 |
288 |
0 |
0 |
1 |
748 |
| Consistent measures of risk |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
46 |
| Cryptocurrencies: policy, economics and fairness |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
3 |
| Designating market maker behaviour in Limit Order Book markets |
0 |
0 |
1 |
10 |
0 |
0 |
3 |
35 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
6 |
1 |
1 |
5 |
33 |
| Equilibrium Asset Pricing with Systemic Risk |
0 |
0 |
0 |
203 |
0 |
0 |
1 |
576 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
46 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
56 |
| Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
1 |
1 |
1,620 |
0 |
1 |
3 |
3,881 |
| Feedback trading |
0 |
0 |
0 |
9 |
0 |
1 |
1 |
56 |
| Financial volatility and economic growth, 1870-2016 |
0 |
0 |
3 |
3 |
0 |
0 |
4 |
9 |
| How global risk perceptions affect economic growth |
0 |
0 |
0 |
15 |
0 |
2 |
8 |
41 |
| Incentives for Effective Risk Management |
0 |
0 |
0 |
400 |
0 |
0 |
1 |
920 |
| Learning from History: Volatility and Financial Crises |
0 |
0 |
2 |
87 |
0 |
0 |
8 |
163 |
| Learning from history: volatility and financial crises |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Learning from history: volatility and financial crises |
0 |
0 |
1 |
79 |
1 |
1 |
2 |
115 |
| Learning from history: volatility and financial crises |
0 |
0 |
1 |
7 |
0 |
0 |
1 |
32 |
| Low Risk as a Predictor of Financial Crises |
0 |
0 |
3 |
59 |
0 |
0 |
4 |
65 |
| Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks |
0 |
0 |
0 |
45 |
0 |
1 |
5 |
48 |
| Market resilience |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Model Risk of Risk Models |
1 |
1 |
3 |
125 |
1 |
1 |
4 |
143 |
| Model risk of risk models |
0 |
0 |
1 |
42 |
0 |
0 |
4 |
76 |
| Model risk of risk models |
0 |
0 |
0 |
46 |
0 |
0 |
1 |
86 |
| On the Impact of Fundamentals, Liquidity and Coordination on Market Stability |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
182 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
53 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
1 |
1 |
4 |
417 |
| On the use of artificial intelligence in financial regulations and the impact on financial stability |
0 |
0 |
3 |
17 |
0 |
2 |
10 |
28 |
| On time-scaling of risk and the square–root–of–time rule |
1 |
1 |
1 |
22 |
1 |
1 |
1 |
115 |
| On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
3 |
799 |
1 |
10 |
25 |
3,349 |
| Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
0 |
249 |
0 |
0 |
0 |
656 |
| Political challenges of the macroprudential agenda |
0 |
0 |
1 |
7 |
0 |
0 |
2 |
18 |
| Real Trading Patterns and Prices in Spot Foreign Exchange Markets |
0 |
0 |
0 |
501 |
0 |
0 |
0 |
1,801 |
| Real trading patterns and prices in spot foreign exchange markets |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
1 |
102 |
0 |
0 |
5 |
193 |
| Risk Appetite and Endogenous Risk |
0 |
1 |
4 |
453 |
1 |
3 |
13 |
1,091 |
| Risk Model-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
39 |
| Risk models-at-risk |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
19 |
| Risk models-at-risk |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
60 |
| Risk models–at–risk |
0 |
0 |
1 |
45 |
0 |
0 |
3 |
125 |
| Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
1 |
4 |
441 |
1 |
7 |
22 |
1,229 |
| Subadditivity re–examined: the case for value-at-risk |
0 |
0 |
4 |
16 |
0 |
2 |
8 |
111 |
| Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
0 |
2 |
29 |
0 |
2 |
10 |
96 |
| Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
681 |
| Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
87 |
| The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor |
0 |
0 |
0 |
166 |
0 |
1 |
3 |
454 |
| The Emperor has no Clothes: Limits to Risk Modelling |
0 |
0 |
0 |
735 |
0 |
0 |
10 |
1,827 |
| The fatal flaw in macropru: it ignores political risk |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
14 |
| The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
26 |
0 |
1 |
4 |
44 |
| The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
29 |
0 |
1 |
3 |
8 |
| The impact of risk regulation on price dynamics |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
94 |
| Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
446 |
0 |
0 |
2 |
1,804 |
| Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
0 |
25 |
1 |
1 |
1 |
148 |
| Value-at-Risk and Extreme Returns |
0 |
0 |
5 |
1,310 |
0 |
0 |
7 |
3,040 |
| Value-at-risk and extreme returns |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
| What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
647 |
| What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
39 |
| Why macropru can end up being procyclical |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
24 |
| Why risk is so hard to measure |
0 |
0 |
1 |
32 |
0 |
1 |
6 |
90 |
| Total Working Papers |
2 |
7 |
57 |
13,325 |
18 |
60 |
277 |
36,992 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models |
0 |
0 |
0 |
218 |
1 |
1 |
1 |
665 |
| Artificial intelligence and systemic risk |
1 |
3 |
9 |
25 |
8 |
16 |
43 |
107 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
353 |
| Blame the models |
1 |
2 |
12 |
193 |
1 |
4 |
16 |
450 |
| Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report |
0 |
0 |
1 |
22 |
0 |
1 |
5 |
77 |
| Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
211 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
31 |
| Endogenous Extreme Events and the Dual Role of Prices |
0 |
2 |
2 |
48 |
0 |
3 |
7 |
257 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
94 |
0 |
0 |
1 |
233 |
| Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code |
0 |
0 |
0 |
623 |
0 |
0 |
0 |
1,259 |
| Exchange rate determination and inter-market order flow effects |
0 |
0 |
2 |
19 |
1 |
2 |
6 |
75 |
| Fat tails, VaR and subadditivity |
0 |
0 |
3 |
137 |
0 |
4 |
9 |
528 |
| Feedback trading This paper is also available at www.riskresearch.org |
0 |
0 |
1 |
41 |
0 |
0 |
2 |
235 |
| Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market |
0 |
0 |
0 |
142 |
1 |
2 |
2 |
439 |
| Highwaymen or heroes: Should hedge funds be regulated?: A survey |
0 |
0 |
0 |
247 |
0 |
1 |
1 |
683 |
| Incentives for effective risk management |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
321 |
| Learning from History: Volatility and Financial Crises |
0 |
2 |
5 |
42 |
0 |
3 |
12 |
171 |
| Lessons from a collapse of a financial system |
0 |
0 |
1 |
13 |
0 |
4 |
8 |
320 |
| Liquidity determination in an order-driven market |
1 |
1 |
3 |
34 |
2 |
3 |
6 |
95 |
| Model risk of risk models |
0 |
1 |
3 |
72 |
0 |
3 |
9 |
313 |
| Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models |
0 |
0 |
2 |
317 |
1 |
2 |
7 |
783 |
| ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
101 |
| On the Feasibility of Risk Based Regulation |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
21 |
| On the efficacy of financial regulations |
0 |
0 |
0 |
39 |
1 |
3 |
5 |
118 |
| On time-scaling of risk and the square-root-of-time rule |
0 |
0 |
0 |
274 |
2 |
5 |
13 |
908 |
| Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
199 |
| Real trading patterns and prices in spot foreign exchange markets |
0 |
0 |
0 |
207 |
0 |
0 |
0 |
542 |
| Regulating hedge funds |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
104 |
| Risk models-at-risk |
1 |
1 |
3 |
64 |
2 |
4 |
11 |
235 |
| Robust forecasting of dynamic conditional correlation GARCH models |
0 |
2 |
5 |
42 |
0 |
3 |
9 |
140 |
| Stochastic volatility in asset prices estimation with simulated maximum likelihood |
1 |
1 |
3 |
701 |
1 |
2 |
11 |
1,289 |
| The Impact of Risk Cycles on Business Cycles: A Historical View |
0 |
0 |
1 |
5 |
0 |
1 |
6 |
21 |
| The emperor has no clothes: Limits to risk modelling |
1 |
2 |
7 |
410 |
1 |
5 |
32 |
1,073 |
| The impact of risk regulation on price dynamics |
0 |
0 |
2 |
217 |
3 |
4 |
7 |
508 |
| The value of value at risk: statistical, financial, and regulatory considerations (summary) |
0 |
0 |
0 |
153 |
0 |
0 |
1 |
355 |
| Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
195 |
| Value-at-Risk and Extreme Returns |
0 |
3 |
8 |
70 |
1 |
6 |
23 |
237 |
| Total Journal Articles |
6 |
20 |
73 |
4,831 |
26 |
82 |
260 |
13,652 |
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