| 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 |
3 |
9 |
14 |
1,727 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
0 |
15 |
2 |
6 |
7 |
56 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
1 |
2 |
32 |
0 |
6 |
7 |
222 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
0 |
3 |
427 |
1 |
8 |
23 |
1,527 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
0 |
0 |
584 |
3 |
9 |
12 |
2,071 |
| Estimating probabilities of default |
0 |
0 |
3 |
286 |
1 |
5 |
13 |
673 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
0 |
10 |
12 |
1,733 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
2 |
4 |
6 |
779 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
0 |
1 |
285 |
2 |
9 |
14 |
698 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
1 |
314 |
3 |
8 |
12 |
936 |
| Forecasting Economic and Financial Variables with Global VARs |
1 |
1 |
1 |
210 |
2 |
7 |
16 |
552 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
336 |
2 |
9 |
15 |
690 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
206 |
1 |
14 |
17 |
634 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
212 |
1 |
8 |
9 |
555 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
240 |
1 |
5 |
9 |
693 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
96 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
514 |
4 |
9 |
15 |
1,756 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
0 |
355 |
2 |
5 |
8 |
1,214 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
382 |
0 |
6 |
11 |
987 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
1 |
1,291 |
0 |
4 |
7 |
3,131 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
4 |
585 |
0 |
11 |
20 |
1,371 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
1 |
1 |
135 |
2 |
9 |
11 |
356 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
1 |
1 |
1,228 |
1 |
7 |
13 |
4,587 |
| Measurement and Estimation of Credit Migration Matrices |
0 |
0 |
2 |
1,024 |
1 |
8 |
14 |
2,578 |
| Metrics for Comparing Credit Migration Matrices |
1 |
1 |
2 |
929 |
2 |
6 |
17 |
2,623 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
0 |
0 |
1 |
57 |
0 |
2 |
11 |
219 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
1 |
529 |
4 |
14 |
21 |
1,356 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
1 |
1 |
4 |
1,413 |
10 |
22 |
44 |
3,651 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
0 |
1,167 |
2 |
6 |
13 |
2,568 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
2 |
10 |
661 |
3 |
20 |
56 |
1,613 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
1 |
1 |
2 |
59 |
2 |
7 |
10 |
194 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
0 |
0 |
0 |
315 |
2 |
7 |
9 |
764 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
1 |
2 |
638 |
3 |
10 |
13 |
1,248 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
0 |
2 |
7 |
864 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
0 |
3 |
1,608 |
4 |
35 |
41 |
3,644 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
0 |
0 |
6 |
1,974 |
1 |
5 |
24 |
5,418 |
| Robust Capital Regulation |
0 |
0 |
0 |
62 |
0 |
8 |
12 |
202 |
| Robust capital regulation |
0 |
0 |
0 |
143 |
2 |
9 |
16 |
377 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
3 |
7 |
10 |
1,037 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
122 |
1 |
7 |
7 |
657 |
| Stress Testing Bank Profitability |
0 |
1 |
2 |
12 |
0 |
4 |
8 |
77 |
| Stress Testing Banks |
1 |
2 |
4 |
78 |
4 |
17 |
25 |
190 |
| Stress Testing Convergence |
0 |
0 |
0 |
57 |
3 |
7 |
9 |
140 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
30 |
2 |
6 |
8 |
72 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
31 |
5 |
13 |
16 |
85 |
| The New Basel Capital Accord and Questions for Research |
0 |
1 |
1 |
1,060 |
1 |
6 |
9 |
2,035 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
81 |
1 |
5 |
6 |
345 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
190 |
2 |
4 |
5 |
638 |
| Understanding the securitization of subprime mortgage credit |
1 |
1 |
2 |
858 |
4 |
14 |
35 |
2,138 |
| Visible and hidden risk factors for banks |
0 |
0 |
1 |
395 |
1 |
6 |
10 |
1,720 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
292 |
| Total Working Papers |
6 |
15 |
63 |
22,501 |
97 |
430 |
737 |
63,789 |
| 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 |
1 |
234 |
3 |
12 |
18 |
654 |
| A review of recent books on credit risk |
0 |
0 |
1 |
85 |
0 |
1 |
5 |
322 |
| A review of recent books on credit risk |
0 |
0 |
1 |
1 |
0 |
8 |
12 |
17 |
| Bank capital for operational risk: A tale of fragility and instability |
0 |
0 |
0 |
0 |
0 |
4 |
7 |
8 |
| Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing |
0 |
0 |
0 |
9 |
3 |
8 |
12 |
40 |
| Changing Regulatory Capital to Include Liquidity and Management Intervention |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
| Confidence intervals for probabilities of default |
0 |
0 |
0 |
163 |
1 |
3 |
9 |
411 |
| Credit rating dynamics and Markov mixture models |
0 |
1 |
3 |
117 |
0 |
8 |
14 |
322 |
| Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? |
0 |
0 |
1 |
47 |
0 |
11 |
16 |
189 |
| Firm heterogeneity and credit risk diversification |
0 |
0 |
0 |
58 |
0 |
5 |
10 |
232 |
| Forecasting economic and financial variables with global VARs |
1 |
1 |
10 |
216 |
1 |
10 |
32 |
609 |
| Guest Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
157 |
0 |
4 |
7 |
491 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
1 |
191 |
6 |
13 |
19 |
776 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
4 |
11 |
482 |
2 |
17 |
45 |
1,243 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
7 |
1 |
19 |
22 |
54 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
318 |
0 |
0 |
14 |
960 |
| Managing the risk of climate change |
0 |
1 |
2 |
5 |
1 |
4 |
8 |
15 |
| Measurement, estimation and comparison of credit migration matrices |
2 |
6 |
17 |
268 |
3 |
13 |
39 |
652 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
1 |
2 |
4 |
698 |
3 |
19 |
40 |
1,388 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
1 |
1 |
2 |
0 |
4 |
12 |
15 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
2 |
4 |
469 |
6 |
29 |
49 |
1,166 |
| Rejoinder |
0 |
0 |
0 |
14 |
2 |
3 |
4 |
77 |
| Rejoinder to comments on forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
38 |
1 |
3 |
4 |
124 |
| Robust capital regulation |
0 |
0 |
0 |
102 |
1 |
5 |
11 |
345 |
| Stress testing bank profitability |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
| Stress testing banks |
1 |
3 |
12 |
370 |
2 |
11 |
34 |
771 |
| Stress testing convergence |
0 |
0 |
2 |
2 |
0 |
8 |
11 |
14 |
| 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 |
1 |
1 |
4 |
68 |
5 |
15 |
25 |
290 |
| What is enterprise risk management? |
2 |
4 |
10 |
17 |
4 |
13 |
24 |
43 |
| Why were banks better off in the 2001 recession? |
0 |
0 |
0 |
96 |
0 |
4 |
5 |
309 |
| Total Journal Articles |
8 |
26 |
85 |
4,306 |
45 |
258 |
517 |
11,816 |
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