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How to Calculate Systemic Risk Surcharges
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How to Calculate Systemic Risk Surcharges (2012)How to Calculate Systemic Risk SurchargesThe Theory of Economic Regulation (2021)The Theory of Economic Regula…On Taxation and the Control of Externalities (2016)On Taxation and the Control o…Back to the basics in banking? A micro-analysis of banking system stability (2009)Back to the basics in banking…A framework for assessing the systemic risk of major financial institutions (2009)A framework for assessing the…This Time is Different: A Panoramic View of Eight Centuries of Financial Crises (2008)This Time is Different: A Pan…Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison (2008)Is the 2007 U.S. Sub-Prime Fi…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Empirical pricing kernels (2002)Empirical pricing kernelsDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the persistence of conditional variances (1986)Modelling the persistence of …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Toward a More General Theory of Regulation (1976)Toward a More General Theory …The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Competition and Democracy (1958)The Logic of Collective Action. (1966)Why Regulate Utilities ? (1972)Politicians and Firms (1994)The Regulation of Entry (2000)Politically Connected Firms (2006)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Measuring and Testing the Impact of News on Volatility (1993)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Theory of Financial Decision Making. (1988)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Presidential Address: Discount Rates (2011)Measuring Systemic Risk (2016)American Economic Review (2019)Measuring Geopolitical Risk (2022)A Theory of Competition Among Pressure Groups for Political Influence (1983)World Investment Report (2017)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2021The Theory of Economic Regulation5,514 cited
  • 1976Toward a More General Theory of Regulation4,771 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 2008Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison993 cited
  • 2008This Time is Different: A Panoramic View of Eight Centuries of Financial Crises880 cited
  • 2016On Taxation and the Control of Externalities773 cited
  • 2002Empirical pricing kernels687 cited
  • 2009Back to the basics in banking? A micro-analysis of banking system stability662 cited
  • 2009

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A framework for assessing the systemic risk of major financial institutions
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