Working Paper |
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12 months |
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A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk |
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0 |
67 |
3 |
4 |
17 |
219 |
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk |
0 |
0 |
1 |
34 |
1 |
4 |
23 |
127 |
A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk |
0 |
0 |
0 |
16 |
0 |
2 |
14 |
110 |
A Stochastic Dominance Approach to Financial Risk Management Strategies |
0 |
0 |
0 |
82 |
0 |
2 |
12 |
159 |
A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? |
0 |
0 |
1 |
39 |
1 |
7 |
25 |
124 |
A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? |
0 |
0 |
1 |
38 |
2 |
2 |
17 |
88 |
A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR? |
0 |
0 |
1 |
48 |
1 |
2 |
13 |
70 |
A decision rule to minimize daily capital charges in forecasting value-at-risk |
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0 |
1 |
36 |
2 |
4 |
21 |
142 |
Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance |
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0 |
1 |
60 |
0 |
2 |
19 |
94 |
Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance |
0 |
0 |
2 |
61 |
1 |
4 |
29 |
131 |
Currency Hedging Strategies Using Dynamic Multivariate GARCH |
0 |
0 |
1 |
54 |
1 |
2 |
12 |
210 |
Currency Hedging Strategies Using Dynamic Multivariate GARCH |
0 |
0 |
0 |
32 |
2 |
4 |
17 |
177 |
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
29 |
0 |
0 |
6 |
92 |
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
43 |
GFC-Robust Risk Management Strategies under the Basel Accord |
0 |
0 |
0 |
68 |
0 |
2 |
25 |
271 |
GFC-Robust Risk Management Strategies under the Basel Accord |
0 |
0 |
0 |
26 |
2 |
2 |
28 |
156 |
GFC-Robust Risk Management Strategies under the Basel Accord |
0 |
0 |
1 |
37 |
1 |
3 |
30 |
157 |
GFC-Robust Risk Management Strategies under the Basel Accord |
0 |
0 |
0 |
16 |
1 |
2 |
21 |
155 |
GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies |
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0 |
0 |
19 |
0 |
2 |
25 |
119 |
GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies |
0 |
0 |
1 |
7 |
3 |
8 |
25 |
98 |
GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies |
0 |
0 |
0 |
50 |
1 |
2 |
13 |
227 |
GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies |
0 |
0 |
0 |
28 |
2 |
3 |
20 |
176 |
GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies |
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0 |
0 |
37 |
1 |
2 |
16 |
79 |
Guns, Economic Growth and Education during the second half of the Twentieth Century: Was Spain different? |
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0 |
0 |
60 |
2 |
6 |
13 |
92 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis |
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0 |
0 |
15 |
3 |
6 |
23 |
131 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis? |
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0 |
1 |
7 |
1 |
2 |
23 |
101 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis? |
0 |
0 |
0 |
110 |
1 |
2 |
18 |
277 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis? |
0 |
0 |
0 |
64 |
3 |
6 |
18 |
113 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis? |
0 |
0 |
0 |
72 |
2 |
3 |
15 |
152 |
Has the Basel Accord Improved Risk Management During the Global Financial Crisis? |
0 |
0 |
1 |
11 |
0 |
0 |
18 |
116 |
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
0 |
232 |
0 |
2 |
21 |
535 |
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
4 |
148 |
1 |
4 |
25 |
288 |
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
0 |
168 |
1 |
2 |
21 |
554 |
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
0 |
10 |
1 |
3 |
21 |
117 |
Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis? |
0 |
0 |
0 |
104 |
1 |
3 |
22 |
412 |
International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord |
0 |
0 |
0 |
38 |
1 |
2 |
15 |
110 |
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord |
0 |
0 |
0 |
73 |
2 |
2 |
12 |
192 |
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord |
0 |
0 |
2 |
41 |
3 |
4 |
18 |
159 |
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord |
1 |
1 |
1 |
50 |
3 |
4 |
18 |
129 |
La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas |
0 |
0 |
0 |
65 |
2 |
3 |
9 |
383 |
Macroeconomic and policy uncertainty and Exchange rate risk Premium |
0 |
0 |
0 |
117 |
0 |
0 |
7 |
394 |
Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations |
0 |
0 |
1 |
12 |
1 |
1 |
7 |
65 |
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis |
0 |
0 |
0 |
80 |
2 |
3 |
15 |
186 |
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis |
0 |
0 |
0 |
14 |
1 |
2 |
17 |
97 |
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis |
1 |
1 |
3 |
81 |
2 |
4 |
19 |
213 |
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis |
0 |
0 |
1 |
92 |
2 |
3 |
15 |
378 |
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures |
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1 |
2 |
18 |
1 |
2 |
14 |
150 |
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
0 |
71 |
1 |
2 |
20 |
254 |
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures |
1 |
1 |
1 |
12 |
3 |
4 |
16 |
143 |
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
0 |
38 |
1 |
6 |
14 |
121 |
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
0 |
17 |
0 |
0 |
13 |
145 |
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
1 |
104 |
1 |
3 |
21 |
208 |
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
1 |
125 |
2 |
2 |
17 |
220 |
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures |
0 |
0 |
0 |
84 |
2 |
3 |
12 |
122 |
Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate |
0 |
0 |
0 |
58 |
1 |
1 |
6 |
197 |
State-Uncertainty preferences and the Risk Premium in the Exchange rate market |
0 |
0 |
0 |
27 |
1 |
1 |
5 |
115 |
The Fit of Dynamic Equilibrium Models of Exchange Rate |
0 |
0 |
0 |
52 |
0 |
1 |
10 |
195 |
The Rise and Fall of S&P500 Variance Futures |
0 |
0 |
0 |
17 |
0 |
1 |
6 |
120 |
The Rise and Fall of S&P500 Variance Futures |
0 |
0 |
0 |
18 |
1 |
2 |
9 |
97 |
The Rise and Fall of S&P500 Variance Futures |
0 |
1 |
1 |
66 |
0 |
1 |
10 |
306 |
The Rise and Fall of S&P500 Variance Futures |
0 |
0 |
0 |
35 |
2 |
2 |
9 |
161 |
The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord |
0 |
0 |
0 |
28 |
0 |
0 |
9 |
158 |
What Happened to Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
0 |
8 |
1 |
2 |
13 |
81 |
What Happened to Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
2 |
80 |
1 |
3 |
24 |
188 |
What Happened to Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
0 |
63 |
2 |
3 |
17 |
164 |
What Happened to Risk Management During the 2008-09 Financial Crisis? |
0 |
0 |
1 |
158 |
1 |
2 |
13 |
338 |
Total Working Papers |
3 |
5 |
34 |
3,633 |
81 |
173 |
1,079 |
11,901 |