| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A general approach to integrated risk management with skewed, fat-tailed risks |
2 |
2 |
5 |
778 |
4 |
13 |
28 |
1,635 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
0 |
12 |
0 |
1 |
5 |
31 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
0 |
0 |
28 |
1 |
3 |
12 |
117 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
1 |
4 |
394 |
5 |
12 |
41 |
1,396 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
0 |
0 |
580 |
0 |
3 |
8 |
2,036 |
| Estimating probabilities of default |
0 |
1 |
1 |
276 |
1 |
4 |
11 |
626 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
290 |
0 |
0 |
4 |
1,714 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
759 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
0 |
1 |
282 |
0 |
1 |
8 |
670 |
| Forecasting Economic and Financial Variables with Global VARs |
1 |
1 |
1 |
206 |
3 |
7 |
22 |
513 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
1 |
3 |
310 |
1 |
3 |
15 |
906 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
327 |
1 |
3 |
17 |
625 |
| Global Business Cycles and Credit Risk |
0 |
0 |
2 |
204 |
1 |
2 |
12 |
602 |
| Global Business Cycles and Credit Risk |
0 |
0 |
2 |
208 |
0 |
1 |
10 |
536 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
4 |
235 |
1 |
5 |
14 |
653 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
63 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
1 |
1 |
510 |
1 |
5 |
5 |
1,718 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
1 |
354 |
1 |
1 |
11 |
1,195 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
4 |
1,285 |
2 |
12 |
43 |
3,010 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
2 |
4 |
366 |
1 |
9 |
36 |
893 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
1 |
2 |
8 |
566 |
2 |
11 |
32 |
1,294 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
2 |
4 |
132 |
1 |
5 |
15 |
329 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
1 |
1 |
5 |
1,216 |
3 |
6 |
30 |
4,516 |
| Measurement and Estimation of Credit Migration Matrices |
0 |
1 |
1 |
1,016 |
1 |
2 |
9 |
2,538 |
| Metrics for Comparing Credit Migration Matrices |
0 |
4 |
17 |
899 |
4 |
10 |
52 |
2,511 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
0 |
0 |
6 |
50 |
3 |
6 |
35 |
118 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
2 |
7 |
520 |
0 |
4 |
17 |
1,289 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
1 |
3 |
16 |
1,385 |
3 |
9 |
40 |
3,496 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
13 |
1,160 |
3 |
6 |
33 |
2,519 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
5 |
628 |
1 |
4 |
26 |
1,454 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
5 |
38 |
6 |
13 |
37 |
121 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
0 |
0 |
2 |
308 |
0 |
4 |
20 |
720 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
0 |
4 |
10 |
831 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
1 |
2 |
628 |
1 |
5 |
12 |
1,206 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
1 |
2 |
9 |
1,589 |
6 |
18 |
44 |
3,553 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
0 |
3 |
14 |
1,908 |
1 |
9 |
32 |
5,209 |
| Robust Capital Regulation |
0 |
0 |
1 |
60 |
3 |
6 |
22 |
167 |
| Robust capital regulation |
0 |
0 |
3 |
141 |
0 |
2 |
17 |
338 |
| Scope for Credit Risk Diversification |
0 |
0 |
1 |
121 |
1 |
4 |
6 |
632 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
1 |
2 |
6 |
1,020 |
| Stress Testing Bank Profitability |
0 |
0 |
2 |
8 |
1 |
4 |
16 |
50 |
| Stress Testing Banks |
2 |
3 |
14 |
30 |
3 |
6 |
31 |
74 |
| Stress Testing Convergence |
0 |
0 |
4 |
55 |
1 |
2 |
12 |
111 |
| Stress Testing in Wartime and in Peacetime |
1 |
1 |
7 |
28 |
1 |
3 |
18 |
52 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
27 |
0 |
0 |
11 |
43 |
| The New Basel Capital Accord and Questions for Research |
0 |
1 |
2 |
1,051 |
1 |
6 |
63 |
1,981 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
81 |
0 |
1 |
7 |
332 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
1 |
187 |
1 |
2 |
9 |
623 |
| Understanding the securitization of subprime mortgage credit |
0 |
2 |
20 |
836 |
7 |
25 |
103 |
1,935 |
| Visible and hidden risk factors for banks |
1 |
2 |
4 |
385 |
3 |
8 |
23 |
1,668 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
279 |
| Total Working Papers |
11 |
42 |
206 |
21,982 |
83 |
275 |
1,106 |
60,707 |
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