60 2023-01-01 The calming of short-term market fears and its long-term consequences: The central banks' dilemma
60 2023-01-01 The Impact of Risk Cycles on Business Cycles: A Historical View
60 2022-01-01 Artificial intelligence and systemic risk
60 2019-07-01 Cryptocurrencies: Policy, economics and fairness
60 2018-01-01 Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
60 2018-01-01 Designating market maker behaviour in Limit Order Book markets
60 2018-01-01 Learning from History: Volatility and Financial Crises
60 2017-11-01 Can we prove a bank guilty of creating systemic risk? A minority report
60 2017-02-01 Model risk of risk models
60 2017-01-01 Challenges in implementing worst-case analysis
60 2017-01-01 Why risk is so hard to measure
60 2016-01-01 Tail Index Estimation: Quantile Driven Threshold Selection
60 2015-01-01 Pitfalls in Worst Case Analysis
60 2014-07-01 Risk models-at-risk
60 2013-02-01 Robust forecasting of dynamic conditional correlation GARCH models
60 2013-01-01 Endogenous and systemic risk
60 2012-10-01 Procyclical leverage and endogenous risk
60 2012-09-01 Regime switches in the volatility and correlation of financial institutions
60 2012-05-01 Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
60 2012-03-01 Fat tails, VaR and subadditivity
60 2012-01-01 Exchange rate determination and inter-market order flow effects
60 2012-01-01 Liquidity determination in an order driven market
60 2012-01-01 Endogenous extreme events and the dual role of prices
60 2011-01-01 Lessons from a collapse of a financial system
60 2011-01-01 On the impact of fundamentals, liquidity and coordination on market stability
60 2011-01-01 Balance sheet capacity and endogenous risk
60 2009-09-01 On the efficacy of financial regulations
60 2009-01-01 Risk appetite and endogenous risk
60 2009-01-01 Collapse of a country
60 2009-01-01 Hagkerfi bíður skipbrot
60 2008-02-01 Dáleidd af bankastarfsemi
60 2008-01-01 Blame the Models
60 2008-01-01 Complexity kills
60 2008-01-01 Consistent Measures of Risk
60 2008-01-01 Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
60 2008-01-01 Equilibrium asset pricing with systemic risk
60 2007-04-01 Regulating hedge funds
60 2007-02-01 Currency crises, (hidden) linkages, and volume
60 2006-01-01 Comparing downside risk measures for heavy tailed distributions
60 2006-01-01 Feedback trading
60 2006-01-01 Highwaymen or heroes: Should hedge funds be regulated?
60 2006-01-01 On time-scaling of risk and the square-root-of-time rule
60 2005-01-01 Countercyclical Capital and Currency Dependence
60 2004-01-01 The impact of risk regulation on price dynamics
60 2003-10-01 Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis
60 2003-06-01 On the feasibility of risk based regulation
60 2003-05-01 Regulation incentives for risk management in incomplete markets
60 2003-01-01 Where do extremes matter?
60 2003-01-01 What happens when you regulate risk? Evidence from a simple equilibrium model
60 2002-01-01 The Emperor has no clothes: Limits to risk modelling
60 2002-01-01 The inter-temporal nature of risk
60 2002-01-01 Incentives for effective risk management
60 2002-01-01 Real trading patterns and prices in spot foreign exchange markets
60 2002-01-01 Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2
60 2002-01-01 Endogenous risk
60 2002-01-01 Asset Price Dynamics with Value-at-Risk Constrained Traders
60 2001-01-01 An academic response to Basel II
60 2001-01-01 Using a bootstrap method to choose the sample fraction in tail index estimation
60 1998-06-01 The cost of conservatism: Extreme returns, Value-at-Risk, and the Basle multiplication factor
60 1998-01-01 The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations