Working Papers

2025

• Artificial intelligence and financial crises

2024

• On the use of artificial intelligence in financial regulations and the impact on financial stability
• The calming of short-term market fears and its long-term consequences: The central banks' dilemma

2023

• The Impact of Risk Cycles on Business Cycles: A Historical View

2022

• Artificial intelligence and systemic risk

2019

• Cryptocurrencies: Policy, economics and fairness

2018

• Learning from History: Volatility and Financial Crises
• Designating market maker behaviour in Limit Order Book markets
• Market Resilience
• Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

2017

• Can we prove a bank guilty of creating systemic risk? A minority report
• Model risk of risk models
• Why risk is so hard to measure
• Challenges in implementing worst-case analysis

2016

• Tail Index Estimation: Quantile Driven Threshold Selection

2015

• Pitfalls in Worst Case Analysis

2014

• Risk models--at--risk

2013

• Robust forecasting of dynamic conditional correlation {GARCH} models
• Endogenous and systemic risk

2012

• Procyclical leverage and endogenous risk
• Regime switches in the volatility and correlation of financial institutions
• Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
• Fat tails, {VaR} and subadditivity
• Endogenous extreme events and the dual role of prices
• Liquidity determination in an order driven market
• Exchange rate determination and inter--market order flow effects

2011

• Balance sheet capacity and endogenous risk
• On the impact of fundamentals, liquidity and coordination on market stability
• Lessons from a collapse of a financial system

2009

• On the efficacy of financial regulations
• Hagkerfi bíður skipbrot
• Collapse of a country
• Risk appetite and endogenous risk

2008

• Dáleidd af bankastarfsemi
• Equilibrium asset pricing with systemic risk
• Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
• Consistent Measures of Risk
• Complexity kills
• Blame the Models

2007

• Regulating hedge funds
• Currency crises, (hidden) linkages, and volume

2006

• On time-scaling of risk and the square-root-of-time rule
• Highwaymen or heroes: {S}hould hedge funds be regulated?
• Feedback trading
• Comparing downside risk measures for heavy tailed distributions

2005

• Countercyclical Capital and Currency Dependence

2004

• The impact of risk regulation on price dynamics

2003

• Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis
• On the feasibility of risk based regulation
• Regulation incentives for risk management in incomplete markets
• What happens when you regulate risk? Evidence from a simple equilibrium model
• Where do extremes matter?

2002

• Asset Price Dynamics with Value-at-Risk Constrained Traders
• Endogenous risk
• Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2
• Real trading patterns and prices in spot foreign exchange markets
• Incentives for effective risk management
• The inter--temporal nature of risk
• The Emperor has no clothes: Limits to risk modelling

2001

• Using a bootstrap method to choose the sample fraction in tail index estimation
• An academic response to {Basel} {II}

1998

• The cost of conservatism: Extreme returns, Value-at-Risk, and the {Basle} multiplication factor
• The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations