Risk research

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