| 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 |
0 |
716 |
| Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
2 |
1,108 |
| An Academic Response to Basel II |
3 |
8 |
18 |
1,510 |
5 |
15 |
46 |
3,325 |
| Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
0 |
120 |
0 |
2 |
3 |
324 |
| Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
41 |
| Asset Price Dynamics with Value-at-Risk Constrained Traders |
1 |
1 |
1 |
157 |
1 |
2 |
2 |
455 |
| Balance Sheet Capacity and Endogenous Risk |
0 |
1 |
15 |
137 |
1 |
2 |
35 |
478 |
| Balance sheet capacity and endogenous risk |
0 |
1 |
4 |
46 |
2 |
6 |
20 |
170 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
2 |
528 |
0 |
0 |
5 |
1,425 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
1 |
2 |
794 |
0 |
5 |
11 |
2,041 |
| Brexit and systemic risk |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
23 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
1 |
1 |
21 |
0 |
2 |
2 |
31 |
| Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
37 |
0 |
1 |
1 |
46 |
| Challenges in Implementing Worst-Case Analysis |
0 |
0 |
1 |
26 |
0 |
0 |
1 |
32 |
| Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
2 |
2 |
2 |
809 |
| Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
34 |
| Consistent Measures of Risk |
0 |
1 |
1 |
286 |
0 |
1 |
3 |
742 |
| Consistent measures of risk |
0 |
1 |
1 |
4 |
0 |
1 |
2 |
45 |
| Designating market maker behaviour in Limit Order Book markets |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
32 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
26 |
| Equilibrium Asset Pricing with Systemic Risk |
0 |
0 |
0 |
203 |
0 |
0 |
0 |
572 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
44 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
55 |
| Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
1 |
2 |
1,616 |
0 |
1 |
2 |
3,873 |
| Feedback trading |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
50 |
| How global risk perceptions affect economic growth |
0 |
1 |
4 |
10 |
0 |
2 |
14 |
25 |
| Incentives for Effective Risk Management |
0 |
0 |
1 |
400 |
0 |
0 |
2 |
919 |
| Learning from History: Volatility and Financial Crises |
1 |
1 |
1 |
85 |
1 |
2 |
7 |
153 |
| Learning from history: volatility and financial crises |
0 |
0 |
3 |
6 |
0 |
1 |
8 |
29 |
| Learning from history: volatility and financial crises |
0 |
0 |
0 |
77 |
0 |
1 |
4 |
110 |
| Low Risk as a Predictor of Financial Crises |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
58 |
| Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks |
0 |
0 |
2 |
44 |
1 |
1 |
9 |
39 |
| Model Risk of Risk Models |
0 |
0 |
0 |
121 |
0 |
0 |
1 |
137 |
| Model risk of risk models |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
85 |
| Model risk of risk models |
0 |
1 |
1 |
39 |
0 |
1 |
1 |
66 |
| On the Impact of Fundamentals, Liquidity and Coordination on Market Stability |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
181 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
0 |
1 |
4 |
413 |
| On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
49 |
| On time-scaling of risk and the square–root–of–time rule |
0 |
1 |
3 |
786 |
4 |
9 |
40 |
3,281 |
| On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
2 |
20 |
0 |
1 |
5 |
106 |
| Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
1 |
247 |
0 |
0 |
1 |
654 |
| Political challenges of the macroprudential agenda |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
15 |
| Real Trading Patterns and Prices in Spot Foreign Exchange Markets |
0 |
1 |
1 |
501 |
0 |
1 |
1 |
1,801 |
| Regime switches in the volatility and correlation of financial institutions |
0 |
1 |
2 |
100 |
0 |
3 |
6 |
185 |
| Risk Appetite and Endogenous Risk |
1 |
6 |
10 |
441 |
1 |
8 |
18 |
1,055 |
| Risk Model-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
37 |
| Risk models-at-risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
| Risk models-at-risk |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
57 |
| Risk models–at–risk |
1 |
1 |
3 |
43 |
2 |
2 |
9 |
119 |
| Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
5 |
434 |
2 |
5 |
25 |
1,187 |
| Subadditivity re–examined: the case for value-at-risk |
0 |
0 |
0 |
11 |
1 |
2 |
6 |
97 |
| Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
2 |
4 |
25 |
4 |
12 |
22 |
70 |
| Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
674 |
| Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
0 |
1 |
1 |
86 |
| The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor |
0 |
0 |
0 |
164 |
0 |
0 |
1 |
445 |
| The Emperor has no Clothes: Limits to Risk Modelling |
0 |
0 |
1 |
733 |
0 |
1 |
8 |
1,811 |
| The fatal flaw in macropru: it ignores political risk |
0 |
1 |
1 |
2 |
0 |
1 |
2 |
11 |
| The impact of risk cycles on business cycles: a historical view |
0 |
4 |
22 |
22 |
0 |
4 |
25 |
25 |
| The impact of risk regulation on price dynamics |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
91 |
| Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
4 |
446 |
0 |
4 |
14 |
1,800 |
| Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
143 |
| Value-at-Risk and Extreme Returns |
0 |
0 |
3 |
1,303 |
0 |
1 |
13 |
3,029 |
| What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
211 |
0 |
0 |
3 |
642 |
| What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
0 |
3 |
37 |
| Why macropru can end up being procyclical |
1 |
1 |
2 |
4 |
2 |
3 |
4 |
19 |
| Why risk is so hard to measure |
0 |
0 |
1 |
30 |
0 |
1 |
2 |
81 |
| Total Working Papers |
8 |
37 |
127 |
13,125 |
30 |
111 |
414 |
36,337 |
| 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 |
1 |
216 |
0 |
0 |
3 |
659 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
352 |
| Blame the models |
2 |
4 |
8 |
175 |
3 |
7 |
21 |
423 |
| Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report |
0 |
2 |
5 |
20 |
1 |
4 |
10 |
70 |
| Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
1 |
81 |
0 |
0 |
1 |
210 |
| Designating market maker behaviour in limit order book markets |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
25 |
| Endogenous Extreme Events and the Dual Role of Prices |
0 |
0 |
0 |
42 |
3 |
10 |
19 |
232 |
| Equilibrium asset pricing with systemic risk |
0 |
0 |
1 |
93 |
0 |
0 |
1 |
231 |
| Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code |
0 |
0 |
0 |
623 |
0 |
0 |
1 |
1,257 |
| Exchange rate determination and inter-market order flow effects |
0 |
0 |
1 |
16 |
0 |
0 |
1 |
66 |
| Fat tails, VaR and subadditivity |
1 |
1 |
2 |
129 |
2 |
3 |
15 |
503 |
| Feedback trading This paper is also available at www.riskresearch.org |
0 |
0 |
1 |
40 |
0 |
1 |
2 |
232 |
| Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market |
0 |
0 |
2 |
140 |
1 |
5 |
11 |
430 |
| Highwaymen or heroes: Should hedge funds be regulated?: A survey |
0 |
0 |
4 |
246 |
0 |
1 |
7 |
675 |
| Incentives for effective risk management |
0 |
0 |
0 |
104 |
0 |
1 |
2 |
319 |
| Learning from History: Volatility and Financial Crises |
0 |
1 |
6 |
36 |
0 |
6 |
20 |
138 |
| Lessons from a collapse of a financial system |
0 |
0 |
1 |
10 |
2 |
3 |
11 |
310 |
| Liquidity determination in an order-driven market |
0 |
0 |
0 |
29 |
0 |
0 |
2 |
85 |
| Model risk of risk models |
0 |
0 |
0 |
58 |
2 |
4 |
13 |
275 |
| Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models |
1 |
1 |
3 |
312 |
1 |
2 |
9 |
770 |
| ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
101 |
| On the Feasibility of Risk Based Regulation |
0 |
0 |
1 |
4 |
0 |
1 |
6 |
21 |
| On the efficacy of financial regulations |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
111 |
| On time-scaling of risk and the square-root-of-time rule |
0 |
1 |
5 |
271 |
2 |
10 |
33 |
878 |
| Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
0 |
0 |
0 |
53 |
0 |
0 |
2 |
195 |
| Real trading patterns and prices in spot foreign exchange markets |
1 |
1 |
6 |
201 |
1 |
3 |
12 |
531 |
| Regulating hedge funds |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
99 |
| Risk models-at-risk |
0 |
0 |
4 |
58 |
3 |
4 |
11 |
215 |
| Robust forecasting of dynamic conditional correlation GARCH models |
1 |
2 |
4 |
36 |
1 |
9 |
13 |
127 |
| Stochastic volatility in asset prices estimation with simulated maximum likelihood |
1 |
1 |
7 |
692 |
1 |
3 |
17 |
1,263 |
| The emperor has no clothes: Limits to risk modelling |
0 |
0 |
4 |
399 |
3 |
6 |
17 |
1,021 |
| The impact of risk regulation on price dynamics |
0 |
0 |
1 |
214 |
1 |
1 |
8 |
498 |
| The value of value at risk: statistical, financial, and regulatory considerations (summary) |
1 |
1 |
1 |
153 |
1 |
1 |
2 |
353 |
| Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
76 |
0 |
1 |
7 |
189 |
| Value-at-Risk and Extreme Returns |
0 |
5 |
8 |
55 |
3 |
13 |
33 |
195 |
| Total Journal Articles |
8 |
20 |
78 |
4,659 |
31 |
99 |
315 |
13,059 |
LogEc is hosted by the
Örebro University School of Business.