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 |
1 |
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 |
2 |
3 |
1,522 |
1 |
4 |
12 |
3,372 |
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
1 |
121 |
1 |
1 |
4 |
328 |
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 financial crises |
0 |
0 |
19 |
20 |
1 |
1 |
15 |
16 |
Artificial intelligence and systemic risk |
0 |
0 |
2 |
21 |
0 |
1 |
7 |
54 |
Asset Price Dynamics with Value-at-Risk Constrained Traders |
0 |
0 |
0 |
157 |
1 |
1 |
1 |
458 |
Asset price dynamics with value-at-risk constrained traders |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Balance Sheet Capacity and Endogenous Risk |
0 |
0 |
2 |
143 |
1 |
2 |
10 |
506 |
Balance sheet capacity and endogenous risk |
0 |
0 |
0 |
46 |
0 |
1 |
5 |
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 |
0 |
795 |
1 |
2 |
3 |
2,046 |
Beyond the sample: extreme quantile and probability estimation |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
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 |
37 |
1 |
1 |
3 |
49 |
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 |
Challenges in Implementing Worst-Case Analysis |
0 |
0 |
0 |
26 |
0 |
0 |
4 |
37 |
Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
1 |
1 |
4 |
814 |
Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
2 |
2 |
3 |
37 |
Consistent Measures of Risk |
0 |
1 |
1 |
289 |
1 |
3 |
4 |
751 |
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 |
0 |
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 |
3 |
0 |
0 |
1 |
56 |
Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
46 |
Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
0 |
1 |
1,620 |
0 |
0 |
3 |
3,881 |
Feedback trading |
0 |
0 |
0 |
9 |
0 |
1 |
2 |
57 |
Financial volatility and economic growth, 1870-2016 |
0 |
0 |
2 |
3 |
0 |
0 |
3 |
9 |
How global risk perceptions affect economic growth |
0 |
0 |
0 |
15 |
3 |
3 |
10 |
44 |
Incentives for Effective Risk Management |
0 |
0 |
0 |
400 |
0 |
1 |
1 |
921 |
Learning from History: Volatility and Financial Crises |
0 |
0 |
1 |
87 |
2 |
2 |
9 |
165 |
Learning from history: volatility and financial crises |
1 |
1 |
2 |
8 |
1 |
2 |
3 |
34 |
Learning from history: volatility and financial crises |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
3 |
Learning from history: volatility and financial crises |
0 |
0 |
1 |
79 |
0 |
1 |
2 |
115 |
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 |
0 |
3 |
48 |
Market resilience |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
Model Risk of Risk Models |
0 |
1 |
3 |
125 |
0 |
1 |
3 |
143 |
Model risk of risk models |
0 |
0 |
0 |
46 |
0 |
0 |
1 |
86 |
Model risk of risk models |
0 |
0 |
1 |
42 |
2 |
2 |
5 |
78 |
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 |
0 |
1 |
2 |
53 |
On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
0 |
1 |
3 |
417 |
On the use of artificial intelligence in financial regulations and the impact on financial stability |
0 |
0 |
3 |
17 |
1 |
2 |
11 |
30 |
On time-scaling of risk and the square–root–of–time rule |
0 |
1 |
1 |
22 |
0 |
1 |
1 |
115 |
On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
3 |
799 |
1 |
2 |
20 |
3,350 |
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
0 |
249 |
2 |
2 |
2 |
658 |
Political challenges of the macroprudential agenda |
0 |
0 |
1 |
7 |
1 |
1 |
3 |
19 |
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 |
1 |
2 |
2 |
Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
0 |
102 |
0 |
0 |
4 |
193 |
Risk Appetite and Endogenous Risk |
0 |
0 |
4 |
453 |
0 |
3 |
14 |
1,093 |
Risk Model-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
39 |
Risk models-at-risk |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
61 |
Risk models–at–risk |
0 |
0 |
1 |
45 |
0 |
0 |
3 |
125 |
Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
4 |
441 |
1 |
3 |
16 |
1,231 |
Subadditivity re–examined: the case for value-at-risk |
1 |
1 |
5 |
17 |
1 |
2 |
9 |
113 |
Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
1 |
3 |
30 |
0 |
2 |
12 |
98 |
Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
9 |
0 |
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 |
2 |
4 |
7 |
458 |
The Emperor has no Clothes: Limits to Risk Modelling |
0 |
0 |
0 |
735 |
0 |
0 |
4 |
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 |
2 |
6 |
46 |
The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
29 |
1 |
1 |
4 |
9 |
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 |
1 |
2 |
3 |
1,806 |
Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
0 |
25 |
0 |
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 |
0 |
1 |
2 |
3 |
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
212 |
1 |
1 |
1 |
648 |
What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
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 |
5 |
91 |
Total Working Papers |
2 |
8 |
77 |
13,351 |
34 |
74 |
294 |
37,044 |
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 |
2 |
2 |
666 |
Artificial intelligence and systemic risk |
0 |
3 |
10 |
27 |
2 |
15 |
46 |
114 |
Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
355 |
Blame the models |
0 |
1 |
12 |
193 |
0 |
1 |
15 |
450 |
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report |
0 |
0 |
1 |
22 |
0 |
1 |
6 |
78 |
Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
0 |
82 |
1 |
1 |
1 |
212 |
Countercyclical Capital and Currency Dependence |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
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 |
0 |
2 |
48 |
0 |
1 |
8 |
258 |
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 |
0 |
1 |
6 |
75 |
Fat tails, VaR and subadditivity |
1 |
1 |
3 |
138 |
2 |
5 |
13 |
533 |
Feedback trading This paper is also available at www.riskresearch.org |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
235 |
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market |
0 |
0 |
0 |
142 |
0 |
1 |
2 |
439 |
Foreword |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
Foreword |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Highwaymen or heroes: Should hedge funds be regulated?: A survey |
0 |
0 |
0 |
247 |
0 |
0 |
1 |
683 |
Incentives for effective risk management |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
321 |
Learning from History: Volatility and Financial Crises |
0 |
0 |
5 |
42 |
1 |
1 |
13 |
172 |
Lessons from a collapse of a financial system |
0 |
0 |
1 |
13 |
0 |
0 |
7 |
320 |
Liquidity determination in an order-driven market |
0 |
1 |
1 |
34 |
0 |
2 |
4 |
95 |
Model risk of risk models |
0 |
0 |
2 |
72 |
4 |
4 |
11 |
317 |
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models |
0 |
0 |
2 |
317 |
0 |
1 |
6 |
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 Role of Regulatory Banking Capital |
0 |
1 |
1 |
1 |
0 |
1 |
2 |
2 |
On the efficacy of financial regulations |
0 |
0 |
0 |
39 |
1 |
2 |
6 |
119 |
On time-scaling of risk and the square-root-of-time rule |
0 |
0 |
0 |
274 |
2 |
4 |
14 |
910 |
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 |
2 |
4 |
4 |
546 |
Regulating hedge funds |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
104 |
Risk models-at-risk |
0 |
1 |
3 |
64 |
0 |
2 |
10 |
235 |
Robust forecasting of dynamic conditional correlation GARCH models |
0 |
0 |
5 |
42 |
0 |
0 |
7 |
140 |
Stochastic volatility in asset prices estimation with simulated maximum likelihood |
0 |
1 |
3 |
701 |
0 |
4 |
13 |
1,292 |
The Impact of Risk Cycles on Business Cycles: A Historical View |
0 |
0 |
0 |
5 |
1 |
2 |
6 |
23 |
The emperor has no clothes: Limits to risk modelling |
0 |
1 |
7 |
410 |
0 |
3 |
31 |
1,075 |
The impact of risk regulation on price dynamics |
0 |
0 |
2 |
217 |
1 |
4 |
8 |
509 |
The value of value at risk: statistical, financial, and regulatory considerations (summary) |
0 |
0 |
0 |
153 |
0 |
1 |
1 |
356 |
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
76 |
2 |
2 |
3 |
197 |
Value-at-Risk and Extreme Returns |
0 |
0 |
8 |
70 |
0 |
2 |
22 |
238 |
Total Journal Articles |
1 |
10 |
71 |
4,836 |
21 |
69 |
280 |
13,698 |