| 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 |
794 |
0 |
0 |
4 |
1,713 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
1 |
15 |
0 |
0 |
2 |
49 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
215 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
1 |
7 |
420 |
0 |
2 |
21 |
1,496 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
0 |
1 |
584 |
0 |
0 |
2 |
2,057 |
| Estimating probabilities of default |
0 |
1 |
3 |
283 |
0 |
1 |
7 |
659 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
0 |
0 |
0 |
1,721 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
771 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
0 |
0 |
284 |
0 |
0 |
0 |
684 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
0 |
313 |
0 |
0 |
4 |
923 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
1 |
209 |
0 |
0 |
2 |
535 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
336 |
0 |
1 |
5 |
675 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
545 |
| Global Business Cycles and Credit Risk |
0 |
0 |
1 |
206 |
0 |
1 |
2 |
617 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
1 |
240 |
1 |
1 |
2 |
683 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
91 |
| Horizon Problems and Extreme Events in Financial Risk Management |
1 |
1 |
1 |
513 |
1 |
1 |
2 |
1,739 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
0 |
355 |
0 |
0 |
0 |
1,206 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
2 |
382 |
0 |
0 |
4 |
975 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
1,290 |
0 |
0 |
3 |
3,121 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
2 |
579 |
0 |
0 |
5 |
1,347 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
0 |
0 |
134 |
0 |
0 |
1 |
345 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
1,226 |
0 |
0 |
2 |
4,571 |
| Measurement and Estimation of Credit Migration Matrices |
0 |
0 |
1 |
1,022 |
0 |
0 |
2 |
2,564 |
| Metrics for Comparing Credit Migration Matrices |
0 |
0 |
6 |
927 |
0 |
0 |
13 |
2,605 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
0 |
0 |
0 |
56 |
1 |
2 |
7 |
203 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
1 |
1 |
1 |
527 |
1 |
3 |
7 |
1,332 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
1 |
1 |
5 |
1,408 |
1 |
3 |
16 |
3,606 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
1 |
1 |
3 |
1,167 |
1 |
1 |
6 |
2,555 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
5 |
651 |
0 |
2 |
21 |
1,555 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
0 |
0 |
3 |
56 |
0 |
0 |
5 |
182 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
0 |
0 |
2 |
314 |
0 |
1 |
7 |
752 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
854 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
635 |
0 |
1 |
3 |
1,233 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
0 |
0 |
1,605 |
0 |
0 |
2 |
3,601 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
0 |
1 |
7 |
1,968 |
0 |
1 |
8 |
5,392 |
| Robust Capital Regulation |
0 |
0 |
0 |
62 |
0 |
1 |
1 |
189 |
| Robust capital regulation |
0 |
0 |
0 |
143 |
0 |
0 |
3 |
361 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
122 |
0 |
0 |
0 |
650 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
0 |
0 |
0 |
1,027 |
| Stress Testing Bank Profitability |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
69 |
| Stress Testing Banks |
0 |
1 |
3 |
74 |
2 |
5 |
10 |
164 |
| Stress Testing Convergence |
0 |
0 |
0 |
57 |
0 |
1 |
1 |
129 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
29 |
0 |
1 |
1 |
63 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
68 |
| The New Basel Capital Accord and Questions for Research |
0 |
0 |
0 |
1,059 |
0 |
0 |
4 |
2,026 |
| 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 |
0 |
633 |
| Understanding the securitization of subprime mortgage credit |
1 |
1 |
4 |
853 |
1 |
1 |
11 |
2,098 |
| Visible and hidden risk factors for banks |
0 |
0 |
0 |
393 |
0 |
0 |
1 |
1,708 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
287 |
| Total Working Papers |
5 |
9 |
60 |
22,420 |
10 |
32 |
207 |
62,983 |
| 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 |
1 |
3 |
231 |
0 |
4 |
16 |
629 |
| A review of recent books on credit risk |
0 |
0 |
0 |
83 |
0 |
0 |
1 |
316 |
| A review of recent books on credit risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| Bank capital for operational risk: A tale of fragility and instability |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
28 |
| Changing Regulatory Capital to Include Liquidity and Management Intervention |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Confidence intervals for probabilities of default |
1 |
1 |
3 |
162 |
1 |
3 |
6 |
400 |
| Credit rating dynamics and Markov mixture models |
0 |
0 |
3 |
112 |
1 |
1 |
6 |
306 |
| Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? |
0 |
0 |
1 |
46 |
0 |
0 |
1 |
172 |
| Firm heterogeneity and credit risk diversification |
0 |
0 |
0 |
58 |
0 |
0 |
2 |
222 |
| Forecasting economic and financial variables with global VARs |
0 |
4 |
6 |
202 |
0 |
10 |
26 |
569 |
| Guest Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
157 |
1 |
1 |
2 |
482 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
0 |
0 |
0 |
756 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
1 |
1 |
7 |
470 |
1 |
7 |
33 |
1,191 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
7 |
0 |
1 |
1 |
32 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
2 |
7 |
318 |
0 |
4 |
17 |
946 |
| Managing the risk of climate change |
0 |
0 |
3 |
3 |
0 |
0 |
6 |
7 |
| Measurement, estimation and comparison of credit migration matrices |
0 |
2 |
14 |
245 |
2 |
8 |
28 |
602 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
2 |
3 |
5 |
692 |
4 |
6 |
15 |
1,340 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
1 |
3 |
465 |
2 |
4 |
17 |
1,116 |
| Rejoinder |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
72 |
| Rejoinder to comments on forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
38 |
0 |
1 |
3 |
119 |
| Robust capital regulation |
0 |
0 |
0 |
102 |
0 |
0 |
2 |
334 |
| Stress testing bank profitability |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
| Stress testing banks |
2 |
5 |
16 |
356 |
5 |
10 |
41 |
727 |
| Stress testing convergence |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico |
0 |
0 |
2 |
72 |
0 |
1 |
3 |
267 |
| Understanding the Securitization of Subprime Mortgage Credit |
0 |
1 |
6 |
63 |
0 |
1 |
15 |
258 |
| What is enterprise risk management? |
0 |
1 |
3 |
5 |
0 |
2 |
12 |
17 |
| Why were banks better off in the 2001 recession? |
0 |
0 |
0 |
96 |
0 |
0 |
0 |
303 |
| Total Journal Articles |
6 |
22 |
82 |
4,196 |
18 |
66 |
257 |
11,223 |