| 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 |
2 |
2 |
4 |
721 |
| Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
4 |
4 |
4 |
1,114 |
| An Academic Response to Basel II |
0 |
0 |
3 |
1,522 |
3 |
5 |
16 |
3,377 |
| Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
0 |
121 |
3 |
3 |
5 |
331 |
| Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
42 |
| Artificial intelligence and financial crises |
1 |
4 |
6 |
26 |
6 |
16 |
24 |
35 |
| Artificial intelligence and financial crises |
0 |
3 |
6 |
6 |
4 |
11 |
16 |
16 |
| Artificial intelligence and systemic risk |
0 |
0 |
2 |
21 |
2 |
5 |
9 |
60 |
| Asset Price Dynamics with Value-at-Risk Constrained Traders |
0 |
0 |
0 |
157 |
0 |
0 |
1 |
458 |
| Asset price dynamics with value-at-risk constrained traders |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
4 |
| Balance Sheet Capacity and Endogenous Risk |
0 |
1 |
2 |
144 |
5 |
12 |
18 |
519 |
| Balance sheet capacity and endogenous risk |
0 |
0 |
0 |
46 |
5 |
5 |
8 |
186 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
795 |
4 |
5 |
8 |
2,051 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
528 |
2 |
2 |
2 |
1,429 |
| Beyond the sample: extreme quantile and probability estimation |
0 |
0 |
0 |
0 |
2 |
5 |
6 |
7 |
| Brexit and systemic risk |
0 |
0 |
0 |
10 |
0 |
3 |
4 |
28 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
21 |
0 |
1 |
1 |
32 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
37 |
2 |
4 |
7 |
53 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Challenges in Implementing Worst-Case Analysis |
0 |
0 |
0 |
26 |
4 |
4 |
6 |
41 |
| Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
1 |
3 |
6 |
817 |
| Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
2 |
3 |
6 |
40 |
| Consistent Measures of Risk |
0 |
0 |
1 |
289 |
4 |
7 |
11 |
758 |
| Consistent measures of risk |
0 |
0 |
0 |
4 |
1 |
5 |
5 |
51 |
| Cryptocurrencies: policy, economics and fairness |
0 |
0 |
1 |
1 |
1 |
2 |
4 |
5 |
| Designating market maker behaviour in Limit Order Book markets |
0 |
0 |
0 |
10 |
2 |
2 |
4 |
37 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
6 |
2 |
4 |
7 |
37 |
| Equilibrium Asset Pricing with Systemic Risk |
0 |
0 |
0 |
203 |
1 |
3 |
3 |
579 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
3 |
5 |
5 |
51 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
57 |
| Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
2 |
3 |
1,622 |
1 |
4 |
7 |
3,885 |
| Feedback trading |
0 |
0 |
0 |
9 |
5 |
5 |
7 |
62 |
| Financial volatility and economic growth, 1870-2016 |
0 |
1 |
1 |
4 |
0 |
3 |
3 |
12 |
| How global risk perceptions affect economic growth |
0 |
1 |
1 |
16 |
1 |
2 |
8 |
46 |
| Incentives for Effective Risk Management |
0 |
0 |
0 |
400 |
2 |
2 |
3 |
923 |
| Learning from History: Volatility and Financial Crises |
0 |
0 |
1 |
87 |
1 |
3 |
9 |
168 |
| Learning from history: volatility and financial crises |
0 |
0 |
1 |
79 |
0 |
3 |
5 |
118 |
| Learning from history: volatility and financial crises |
0 |
0 |
2 |
8 |
3 |
4 |
7 |
38 |
| Learning from history: volatility and financial crises |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
4 |
| Low Risk as a Predictor of Financial Crises |
0 |
0 |
3 |
59 |
2 |
2 |
6 |
67 |
| Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks |
0 |
0 |
0 |
45 |
4 |
8 |
11 |
56 |
| Market resilience |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
3 |
| Model Risk of Risk Models |
0 |
0 |
2 |
125 |
0 |
1 |
3 |
144 |
| Model risk of risk models |
0 |
0 |
0 |
46 |
0 |
3 |
3 |
89 |
| Model risk of risk models |
0 |
0 |
0 |
42 |
2 |
10 |
14 |
88 |
| On the Impact of Fundamentals, Liquidity and Coordination on Market Stability |
0 |
0 |
0 |
42 |
1 |
2 |
2 |
184 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
1 |
1 |
4 |
418 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
55 |
| On the use of artificial intelligence in financial regulations and the impact on financial stability |
1 |
2 |
4 |
19 |
4 |
10 |
20 |
42 |
| On time-scaling of risk and the square–root–of–time rule |
0 |
1 |
4 |
800 |
5 |
10 |
27 |
3,360 |
| On time-scaling of risk and the square–root–of–time rule |
0 |
2 |
3 |
24 |
0 |
6 |
7 |
121 |
| Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
0 |
249 |
2 |
2 |
4 |
660 |
| Political challenges of the macroprudential agenda |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
21 |
| Real Trading Patterns and Prices in Spot Foreign Exchange Markets |
0 |
0 |
0 |
501 |
1 |
6 |
6 |
1,807 |
| Real trading patterns and prices in spot foreign exchange markets |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
6 |
| Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
0 |
102 |
4 |
8 |
11 |
201 |
| Risk Appetite and Endogenous Risk |
0 |
0 |
3 |
454 |
2 |
8 |
18 |
1,103 |
| Risk Model-at-Risk |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
40 |
| Risk models-at-risk |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
63 |
| Risk models–at–risk |
0 |
1 |
1 |
46 |
0 |
1 |
3 |
126 |
| Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
4 |
441 |
1 |
6 |
20 |
1,237 |
| Subadditivity re–examined: the case for value-at-risk |
0 |
0 |
4 |
17 |
1 |
3 |
11 |
116 |
| Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
0 |
2 |
30 |
3 |
11 |
24 |
112 |
| Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
9 |
1 |
4 |
6 |
685 |
| Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
2 |
2 |
2 |
89 |
| The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor |
0 |
0 |
0 |
166 |
0 |
1 |
7 |
459 |
| The Emperor has no Clothes: Limits to Risk Modelling |
0 |
0 |
0 |
735 |
2 |
2 |
2 |
1,829 |
| The fatal flaw in macropru: it ignores political risk |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
15 |
| The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
29 |
2 |
2 |
6 |
11 |
| The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
26 |
2 |
3 |
10 |
51 |
| The impact of risk regulation on price dynamics |
0 |
0 |
0 |
20 |
1 |
2 |
2 |
96 |
| Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
446 |
4 |
8 |
11 |
1,814 |
| Using a bootstrap method to choose the sample fraction in tail index estimation |
1 |
2 |
2 |
27 |
3 |
10 |
11 |
158 |
| Value-at-Risk and Extreme Returns |
0 |
0 |
2 |
1,310 |
1 |
4 |
6 |
3,044 |
| Value-at-risk and extreme returns |
0 |
0 |
0 |
0 |
3 |
4 |
5 |
7 |
| What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
212 |
2 |
5 |
7 |
654 |
| What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
1 |
1 |
40 |
| Why macropru can end up being procyclical |
0 |
0 |
0 |
4 |
1 |
2 |
3 |
26 |
| Why risk is so hard to measure |
0 |
1 |
2 |
33 |
3 |
4 |
8 |
95 |
| Total Working Papers |
3 |
21 |
68 |
13,378 |
146 |
320 |
557 |
37,387 |
| 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 |
3 |
667 |
| Artificial intelligence and systemic risk |
3 |
10 |
21 |
39 |
11 |
28 |
71 |
149 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
357 |
| Blame the models |
0 |
0 |
10 |
193 |
2 |
5 |
18 |
455 |
| Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report |
0 |
0 |
1 |
22 |
2 |
5 |
11 |
84 |
| Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
0 |
82 |
1 |
3 |
4 |
215 |
| Countercyclical Capital and Currency Dependence |
0 |
0 |
0 |
1 |
3 |
3 |
3 |
4 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
5 |
2 |
5 |
6 |
36 |
| Endogenous Extreme Events and the Dual Role of Prices |
0 |
0 |
2 |
48 |
1 |
2 |
9 |
261 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
94 |
2 |
2 |
4 |
236 |
| Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code |
0 |
0 |
0 |
623 |
0 |
1 |
1 |
1,260 |
| Exchange rate determination and inter-market order flow effects |
0 |
0 |
2 |
19 |
1 |
1 |
6 |
76 |
| Fat tails, VaR and subadditivity |
0 |
0 |
2 |
138 |
3 |
3 |
15 |
536 |
| Feedback trading This paper is also available at www.riskresearch.org |
0 |
0 |
1 |
42 |
1 |
2 |
3 |
238 |
| Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market |
0 |
0 |
0 |
142 |
2 |
3 |
5 |
442 |
| Foreword |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
| Foreword |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Highwaymen or heroes: Should hedge funds be regulated?: A survey |
0 |
0 |
0 |
247 |
4 |
6 |
7 |
689 |
| Incentives for effective risk management |
0 |
0 |
0 |
104 |
3 |
3 |
3 |
324 |
| Learning from History: Volatility and Financial Crises |
0 |
0 |
4 |
42 |
4 |
10 |
18 |
182 |
| Lessons from a collapse of a financial system |
0 |
0 |
0 |
13 |
2 |
4 |
9 |
324 |
| Liquidity determination in an order-driven market |
0 |
0 |
1 |
34 |
0 |
2 |
6 |
97 |
| Model risk of risk models |
0 |
0 |
1 |
72 |
7 |
8 |
17 |
325 |
| Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models |
0 |
0 |
1 |
317 |
7 |
9 |
12 |
792 |
| ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY |
0 |
0 |
0 |
17 |
3 |
5 |
5 |
106 |
| On the Feasibility of Risk Based Regulation |
0 |
0 |
0 |
4 |
1 |
1 |
1 |
22 |
| On the Role of Regulatory Banking Capital |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
3 |
| On the efficacy of financial regulations |
1 |
1 |
1 |
40 |
2 |
6 |
11 |
125 |
| On time-scaling of risk and the square-root-of-time rule |
1 |
2 |
2 |
276 |
3 |
5 |
16 |
915 |
| Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
0 |
0 |
0 |
54 |
0 |
1 |
2 |
200 |
| Real trading patterns and prices in spot foreign exchange markets |
0 |
0 |
0 |
207 |
7 |
8 |
12 |
554 |
| Regulating hedge funds |
0 |
0 |
0 |
20 |
3 |
4 |
4 |
108 |
| Risk models-at-risk |
0 |
0 |
3 |
64 |
1 |
4 |
11 |
239 |
| Robust forecasting of dynamic conditional correlation GARCH models |
0 |
1 |
3 |
43 |
4 |
8 |
12 |
148 |
| Stochastic volatility in asset prices estimation with simulated maximum likelihood |
1 |
2 |
4 |
703 |
1 |
3 |
9 |
1,295 |
| The Impact of Risk Cycles on Business Cycles: A Historical View |
0 |
0 |
0 |
5 |
1 |
7 |
11 |
30 |
| The emperor has no clothes: Limits to risk modelling |
1 |
1 |
5 |
412 |
4 |
4 |
21 |
1,081 |
| The impact of risk regulation on price dynamics |
0 |
0 |
1 |
217 |
1 |
4 |
10 |
513 |
| The value of value at risk: statistical, financial, and regulatory considerations (summary) |
0 |
0 |
0 |
153 |
0 |
1 |
2 |
357 |
| Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
1 |
1 |
77 |
5 |
14 |
17 |
211 |
| Value-at-Risk and Extreme Returns |
1 |
4 |
9 |
75 |
4 |
12 |
30 |
255 |
| Total Journal Articles |
8 |
22 |
76 |
4,863 |
101 |
198 |
414 |
13,914 |
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