| 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 |
1 |
795 |
0 |
1 |
5 |
1,718 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
49 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
0 |
1 |
31 |
0 |
0 |
1 |
216 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
2 |
7 |
427 |
1 |
4 |
20 |
1,516 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
0 |
0 |
584 |
1 |
1 |
5 |
2,062 |
| Estimating probabilities of default |
0 |
1 |
3 |
286 |
1 |
3 |
8 |
667 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
1 |
2 |
2 |
1,723 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
775 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
1 |
1 |
285 |
0 |
3 |
4 |
688 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
0 |
209 |
2 |
6 |
9 |
544 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
1 |
1 |
314 |
1 |
3 |
5 |
928 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
336 |
1 |
3 |
3 |
678 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
546 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
206 |
0 |
1 |
1 |
618 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
240 |
0 |
1 |
5 |
687 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
94 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
513 |
2 |
3 |
7 |
1,745 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
0 |
355 |
2 |
3 |
3 |
1,209 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
2 |
5 |
584 |
0 |
3 |
11 |
1,358 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
382 |
1 |
1 |
2 |
977 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
1 |
1,291 |
1 |
1 |
6 |
3,127 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
0 |
0 |
134 |
0 |
1 |
2 |
347 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
1 |
1,227 |
2 |
2 |
7 |
4,578 |
| Measurement and Estimation of Credit Migration Matrices |
1 |
1 |
2 |
1,024 |
2 |
3 |
5 |
2,569 |
| Metrics for Comparing Credit Migration Matrices |
0 |
0 |
1 |
928 |
3 |
3 |
9 |
2,614 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
0 |
0 |
0 |
56 |
2 |
4 |
13 |
215 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
3 |
529 |
0 |
0 |
7 |
1,338 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
0 |
1 |
5 |
1,412 |
7 |
9 |
15 |
3,620 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
1 |
1,167 |
1 |
2 |
7 |
2,561 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
1 |
5 |
8 |
659 |
7 |
19 |
35 |
1,590 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
2 |
58 |
0 |
1 |
4 |
186 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
0 |
0 |
1 |
315 |
2 |
2 |
5 |
757 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
1 |
3 |
8 |
862 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
2 |
637 |
0 |
0 |
3 |
1,236 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
1 |
3 |
1,608 |
3 |
4 |
8 |
3,609 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
1 |
3 |
6 |
1,974 |
6 |
8 |
17 |
5,409 |
| Robust Capital Regulation |
0 |
0 |
0 |
62 |
1 |
2 |
3 |
192 |
| Robust capital regulation |
0 |
0 |
0 |
143 |
0 |
1 |
3 |
364 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
122 |
0 |
0 |
0 |
650 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
1 |
2 |
3 |
1,030 |
| Stress Testing Bank Profitability |
0 |
1 |
1 |
11 |
0 |
2 |
3 |
72 |
| Stress Testing Banks |
1 |
1 |
2 |
76 |
1 |
2 |
7 |
169 |
| Stress Testing Convergence |
0 |
0 |
0 |
57 |
0 |
1 |
3 |
132 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
1 |
30 |
0 |
0 |
2 |
65 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
1 |
31 |
2 |
2 |
3 |
71 |
| The New Basel Capital Accord and Questions for Research |
0 |
0 |
0 |
1,059 |
0 |
0 |
1 |
2,027 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
81 |
0 |
0 |
0 |
339 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
190 |
0 |
0 |
1 |
634 |
| Understanding the securitization of subprime mortgage credit |
0 |
0 |
5 |
857 |
6 |
10 |
23 |
2,120 |
| Visible and hidden risk factors for banks |
0 |
0 |
1 |
394 |
1 |
1 |
5 |
1,713 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
289 |
| Total Working Papers |
4 |
20 |
67 |
22,482 |
64 |
125 |
310 |
63,283 |
| 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 |
3 |
234 |
2 |
3 |
12 |
641 |
| A review of recent books on credit risk |
0 |
0 |
2 |
85 |
0 |
0 |
4 |
320 |
| A review of recent books on credit risk |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
8 |
| Bank capital for operational risk: A tale of fragility and instability |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
4 |
| Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing |
0 |
0 |
0 |
9 |
2 |
3 |
4 |
32 |
| Changing Regulatory Capital to Include Liquidity and Management Intervention |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Confidence intervals for probabilities of default |
0 |
0 |
2 |
163 |
3 |
3 |
7 |
406 |
| Credit rating dynamics and Markov mixture models |
0 |
0 |
4 |
116 |
2 |
3 |
9 |
314 |
| Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? |
1 |
1 |
1 |
47 |
1 |
2 |
5 |
177 |
| Firm heterogeneity and credit risk diversification |
0 |
0 |
0 |
58 |
1 |
3 |
3 |
225 |
| Forecasting economic and financial variables with global VARs |
1 |
3 |
13 |
215 |
5 |
8 |
28 |
597 |
| Guest Editorial |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
3 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
157 |
1 |
2 |
5 |
486 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
2 |
3 |
4 |
760 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
8 |
477 |
5 |
6 |
33 |
1,223 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
34 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
318 |
0 |
9 |
13 |
959 |
| Managing the risk of climate change |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
9 |
| Measurement, estimation and comparison of credit migration matrices |
0 |
5 |
16 |
261 |
2 |
14 |
37 |
637 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
1 |
2 |
6 |
696 |
3 |
4 |
28 |
1,364 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
1 |
1 |
2 |
2 |
5 |
6 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
0 |
1 |
466 |
4 |
7 |
16 |
1,130 |
| Rejoinder |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
74 |
| Rejoinder to comments on forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
120 |
| Robust capital regulation |
0 |
0 |
0 |
102 |
2 |
3 |
4 |
338 |
| Stress testing bank profitability |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
| Stress testing banks |
1 |
5 |
13 |
367 |
2 |
12 |
35 |
757 |
| Stress testing convergence |
1 |
1 |
2 |
2 |
1 |
1 |
4 |
6 |
| The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico |
0 |
0 |
0 |
72 |
0 |
0 |
2 |
269 |
| Understanding the Securitization of Subprime Mortgage Credit |
0 |
0 |
4 |
67 |
1 |
2 |
12 |
270 |
| What is enterprise risk management? |
1 |
1 |
7 |
12 |
2 |
4 |
11 |
28 |
| Why were banks better off in the 2001 recession? |
0 |
0 |
0 |
96 |
1 |
1 |
2 |
305 |
| Total Journal Articles |
6 |
18 |
84 |
4,274 |
46 |
99 |
299 |
11,504 |
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