Working Paper |
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Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? |
0 |
0 |
0 |
359 |
0 |
0 |
1 |
717 |
Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
1 |
1,110 |
An Academic Response to Basel II |
0 |
0 |
4 |
1,519 |
0 |
0 |
21 |
3,360 |
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis |
0 |
0 |
0 |
120 |
0 |
1 |
1 |
325 |
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
41 |
Artificial intelligence and systemic risk |
0 |
0 |
2 |
19 |
2 |
3 |
11 |
50 |
Asset Price Dynamics with Value-at-Risk Constrained Traders |
0 |
0 |
0 |
157 |
0 |
0 |
0 |
457 |
Asset price dynamics with value-at-risk constrained traders |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Balance Sheet Capacity and Endogenous Risk |
0 |
1 |
3 |
142 |
1 |
5 |
15 |
501 |
Balance sheet capacity and endogenous risk |
0 |
0 |
0 |
46 |
0 |
1 |
3 |
177 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
1 |
795 |
0 |
0 |
1 |
2,043 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
528 |
0 |
0 |
2 |
1,427 |
Beyond the sample: extreme quantile and probability estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
Brexit and systemic risk |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
24 |
Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
31 |
Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
46 |
Can we prove a bank guilty of creating systemic risk? A minority report |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Challenges in Implementing Worst-Case Analysis |
0 |
0 |
0 |
26 |
0 |
1 |
2 |
34 |
Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
0 |
0 |
0 |
810 |
Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
34 |
Consistent Measures of Risk |
0 |
0 |
1 |
288 |
0 |
0 |
2 |
747 |
Consistent measures of risk |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
46 |
Cryptocurrencies: policy, economics and fairness |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
Designating market maker behaviour in Limit Order Book markets |
0 |
1 |
1 |
10 |
0 |
1 |
1 |
33 |
Designating market maker behaviour in limit order book markets |
0 |
0 |
0 |
6 |
0 |
1 |
3 |
29 |
Equilibrium Asset Pricing with Systemic Risk |
0 |
0 |
0 |
203 |
0 |
0 |
0 |
575 |
Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
55 |
Equilibrium asset pricing with systemic risk |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
45 |
Extreme Returns, Tail Estimation, and Value-at-Risk |
0 |
0 |
1 |
1,619 |
0 |
0 |
2 |
3,878 |
Feedback trading |
0 |
0 |
1 |
9 |
0 |
0 |
2 |
55 |
Financial volatility and economic growth, 1870-2016 |
0 |
1 |
2 |
2 |
1 |
2 |
6 |
8 |
How global risk perceptions affect economic growth |
0 |
0 |
3 |
15 |
2 |
4 |
8 |
38 |
Incentives for Effective Risk Management |
0 |
0 |
0 |
400 |
0 |
0 |
1 |
920 |
Learning from History: Volatility and Financial Crises |
0 |
0 |
1 |
86 |
0 |
2 |
3 |
158 |
Learning from history: volatility and financial crises |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
31 |
Learning from history: volatility and financial crises |
0 |
0 |
0 |
78 |
0 |
0 |
0 |
113 |
Learning from history: volatility and financial crises |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Low Risk as a Predictor of Financial Crises |
0 |
0 |
3 |
56 |
0 |
0 |
3 |
61 |
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks |
0 |
0 |
0 |
45 |
0 |
0 |
4 |
45 |
Market resilience |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
Model Risk of Risk Models |
1 |
1 |
1 |
123 |
1 |
1 |
3 |
141 |
Model risk of risk models |
0 |
0 |
2 |
41 |
0 |
0 |
5 |
73 |
Model risk of risk models |
0 |
0 |
0 |
46 |
1 |
1 |
1 |
86 |
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
182 |
On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
51 |
On the impact of fundamentals, liquidity and coordination on market stability |
0 |
0 |
0 |
154 |
0 |
0 |
1 |
414 |
On the use of artificial intelligence in financial regulations and the impact on financial stability |
0 |
1 |
11 |
15 |
1 |
3 |
16 |
22 |
On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
1 |
21 |
0 |
0 |
2 |
114 |
On time-scaling of risk and the square–root–of–time rule |
0 |
0 |
3 |
796 |
2 |
3 |
34 |
3,333 |
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
1 |
249 |
0 |
0 |
1 |
656 |
Political challenges of the macroprudential agenda |
0 |
1 |
1 |
7 |
0 |
1 |
1 |
17 |
Real Trading Patterns and Prices in Spot Foreign Exchange Markets |
0 |
0 |
0 |
501 |
0 |
0 |
0 |
1,801 |
Real trading patterns and prices in spot foreign exchange markets |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
1 |
102 |
1 |
1 |
4 |
190 |
Risk Appetite and Endogenous Risk |
1 |
2 |
5 |
451 |
3 |
5 |
18 |
1,084 |
Risk Model-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
39 |
Risk models-at-risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
Risk models-at-risk |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
59 |
Risk models–at–risk |
0 |
1 |
2 |
45 |
0 |
1 |
2 |
123 |
Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
2 |
437 |
0 |
2 |
23 |
1,217 |
Subadditivity re–examined: the case for value-at-risk |
1 |
1 |
1 |
13 |
1 |
1 |
6 |
105 |
Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
1 |
2 |
28 |
1 |
2 |
11 |
88 |
Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
4 |
9 |
0 |
0 |
4 |
679 |
Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
87 |
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor |
0 |
0 |
1 |
166 |
0 |
0 |
4 |
451 |
The Emperor has no Clothes: Limits to Risk Modelling |
0 |
0 |
2 |
735 |
0 |
3 |
14 |
1,826 |
The fatal flaw in macropru: it ignores political risk |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
13 |
The impact of risk cycles on business cycles: a historical view |
0 |
0 |
1 |
25 |
0 |
1 |
7 |
41 |
The impact of risk cycles on business cycles: a historical view |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
5 |
The impact of risk regulation on price dynamics |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
94 |
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
446 |
0 |
0 |
1 |
1,803 |
Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
147 |
Value-at-Risk and Extreme Returns |
1 |
3 |
3 |
1,308 |
2 |
4 |
5 |
3,037 |
Value-at-risk and extreme returns |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
647 |
What happens when you regulate risk?: evidence from a simple equilibrium model |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
39 |
Why macropru can end up being procyclical |
0 |
0 |
0 |
4 |
0 |
1 |
2 |
23 |
Why risk is so hard to measure |
0 |
0 |
1 |
31 |
0 |
0 |
5 |
86 |
Total Working Papers |
4 |
14 |
68 |
13,287 |
20 |
53 |
277 |
36,820 |