| 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 |
0 |
0 |
0 |
795 |
0 |
1 |
15 |
1,732 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
0 |
15 |
0 |
2 |
19 |
68 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
0 |
1 |
32 |
1 |
1 |
11 |
227 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
0 |
1 |
427 |
0 |
6 |
25 |
1,538 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
0 |
0 |
584 |
1 |
1 |
15 |
2,076 |
| Estimating probabilities of default |
0 |
0 |
1 |
286 |
0 |
2 |
15 |
679 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
0 |
0 |
12 |
1,734 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
779 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
0 |
0 |
285 |
0 |
0 |
14 |
702 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
3 |
212 |
1 |
2 |
18 |
557 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
1 |
314 |
0 |
1 |
17 |
942 |
| Forecasting economic and financial variables with global VARs |
0 |
1 |
1 |
337 |
1 |
2 |
22 |
697 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
212 |
1 |
1 |
13 |
559 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
206 |
2 |
2 |
20 |
637 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
240 |
1 |
2 |
14 |
701 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
99 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
514 |
0 |
1 |
16 |
1,759 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
0 |
355 |
1 |
1 |
11 |
1,217 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
382 |
1 |
2 |
17 |
993 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
1,291 |
0 |
2 |
13 |
3,139 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
2 |
585 |
2 |
4 |
28 |
1,384 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
0 |
1 |
135 |
0 |
1 |
13 |
360 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
1 |
2 |
1,229 |
0 |
2 |
24 |
4,600 |
| Measurement and Estimation of Credit Migration Matrices |
0 |
0 |
2 |
1,025 |
1 |
5 |
20 |
2,587 |
| Metrics for Comparing Credit Migration Matrices |
0 |
0 |
3 |
931 |
0 |
1 |
26 |
2,637 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
1 |
1 |
2 |
58 |
1 |
3 |
13 |
224 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
1 |
2 |
531 |
0 |
4 |
31 |
1,369 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
4 |
1,416 |
3 |
10 |
71 |
3,684 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
0 |
1,167 |
0 |
2 |
18 |
2,577 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
1 |
1 |
9 |
664 |
3 |
7 |
63 |
1,638 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
2 |
60 |
4 |
5 |
17 |
202 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
0 |
0 |
0 |
315 |
3 |
4 |
21 |
776 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
865 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
1 |
638 |
0 |
0 |
17 |
1,253 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
0 |
0 |
1,608 |
1 |
2 |
54 |
3,660 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
0 |
3 |
4 |
1,977 |
2 |
7 |
32 |
5,435 |
| Robust Capital Regulation |
0 |
0 |
0 |
62 |
0 |
0 |
12 |
203 |
| Robust capital regulation |
0 |
0 |
0 |
143 |
1 |
1 |
21 |
384 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
0 |
1 |
11 |
1,039 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
122 |
0 |
0 |
11 |
661 |
| Stress Testing Bank Profitability |
0 |
0 |
1 |
12 |
0 |
0 |
8 |
79 |
| Stress Testing Banks |
0 |
0 |
4 |
79 |
0 |
1 |
28 |
196 |
| Stress Testing Convergence |
0 |
0 |
0 |
57 |
0 |
1 |
10 |
141 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
31 |
0 |
1 |
25 |
94 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
30 |
0 |
1 |
9 |
74 |
| The New Basel Capital Accord and Questions for Research |
0 |
0 |
1 |
1,060 |
1 |
2 |
13 |
2,040 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
81 |
1 |
1 |
11 |
350 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
190 |
1 |
1 |
9 |
643 |
| Understanding the securitization of subprime mortgage credit |
0 |
1 |
2 |
859 |
2 |
4 |
41 |
2,154 |
| Visible and hidden risk factors for banks |
0 |
0 |
2 |
396 |
1 |
1 |
14 |
1,726 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
292 |
| Total Working Papers |
2 |
10 |
53 |
22,524 |
37 |
104 |
976 |
64,162 |
| Journal Article |
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 |
0 |
0 |
0 |
234 |
0 |
2 |
23 |
661 |
| A review of recent books on credit risk |
0 |
0 |
0 |
85 |
0 |
1 |
6 |
326 |
| A review of recent books on credit risk |
0 |
0 |
0 |
1 |
0 |
1 |
14 |
22 |
| Bank capital for operational risk: A tale of fragility and instability |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
13 |
| Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing |
0 |
0 |
0 |
9 |
0 |
1 |
13 |
42 |
| Changing Regulatory Capital to Include Liquidity and Management Intervention |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
4 |
| Confidence intervals for probabilities of default |
0 |
1 |
3 |
166 |
0 |
3 |
14 |
417 |
| Credit rating dynamics and Markov mixture models |
1 |
2 |
3 |
119 |
3 |
5 |
20 |
332 |
| Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? |
1 |
1 |
2 |
48 |
1 |
2 |
15 |
191 |
| Firm heterogeneity and credit risk diversification |
0 |
0 |
0 |
58 |
0 |
1 |
10 |
233 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
4 |
216 |
2 |
4 |
26 |
616 |
| Guest Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
| Hedge funds, financial intermediation, and systemic risk |
1 |
1 |
1 |
158 |
1 |
1 |
11 |
495 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
1 |
191 |
0 |
0 |
23 |
781 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
1 |
7 |
484 |
2 |
7 |
41 |
1,259 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
1 |
1 |
1 |
8 |
1 |
2 |
30 |
64 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
1 |
1 |
319 |
1 |
5 |
17 |
969 |
| Managing the risk of climate change |
0 |
0 |
2 |
5 |
1 |
2 |
11 |
20 |
| Measurement, estimation and comparison of credit migration matrices |
1 |
1 |
13 |
273 |
2 |
6 |
44 |
676 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
2 |
6 |
700 |
2 |
6 |
47 |
1,407 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
1 |
2 |
0 |
0 |
16 |
20 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
1 |
3 |
7 |
473 |
4 |
13 |
68 |
1,193 |
| Rejoinder |
0 |
0 |
0 |
14 |
0 |
0 |
3 |
77 |
| Rejoinder to comments on forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
38 |
1 |
2 |
7 |
127 |
| Robust capital regulation |
0 |
0 |
0 |
102 |
0 |
1 |
12 |
347 |
| Stress testing bank profitability |
0 |
1 |
1 |
1 |
0 |
2 |
6 |
8 |
| Stress testing banks |
2 |
2 |
11 |
375 |
3 |
11 |
46 |
795 |
| Stress testing convergence |
0 |
0 |
1 |
2 |
0 |
0 |
13 |
18 |
| The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico |
0 |
1 |
2 |
74 |
0 |
1 |
4 |
273 |
| Understanding the Securitization of Subprime Mortgage Credit |
0 |
1 |
4 |
71 |
0 |
3 |
33 |
301 |
| What is enterprise risk management? |
0 |
0 |
6 |
17 |
0 |
1 |
30 |
55 |
| Why were banks better off in the 2001 recession? |
0 |
0 |
0 |
96 |
0 |
1 |
11 |
315 |
| Total Journal Articles |
8 |
19 |
77 |
4,339 |
25 |
86 |
630 |
12,061 |
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