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On the Feasibility of Risk Based Regulation
16 references·1 citing·48 second hop
On the Feasibility of Risk Based Regulation (2003)On the Feasibility of Risk Based Regulati…The amendment to the capital accord to incorporate market risk (2013)The amendment to the capital …Efficient market hypothesis and forecasting (2003)Efficient market hypothesis a…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2002)Unique Equilibrium in a Model…The fiscal cost implications of an accommodating approach to banking crises (2002)The fiscal cost implications …The emperor has no clothes: Limits to risk modelling (2002)The emperor has no clothes: L…How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Equilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…A General Equilibrium Model of Portfolio Insurance (1995)A General Equilibrium Model o…Market Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…Price Volatility, International Market Links, and Their Implications for Regulatory Policies (1989)Price Volatility, Internation…The International Crash of October 1987 (1988)The International Crash of Oc…Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence (1987)Investor Behavior in the Octo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk culture in financial organisations (2015)Risk culture in financial org…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Law and Finance (1998)The Determinants of Banking Crises in Developing and Developed Countries (1998)How Country and Safety-Net Characteristics Affect Bank Risk-Shifting (2002)Cross-Country Empirical Studies Of Systemic Bank Distress : A Survey (2005)TARP funds distribution and bank loan supply (2013)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Comparing Predictive Accuracy (1994)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests (2015)Predicting the direction of stock market prices using tree-based classifiers (2018)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Causality in temporal systems (1977)Comparing alternative tests of causality in temporal systems (1983)Critical market crashes (2003)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Exchange trading rules and stock market liquidity☆ (2010)Global Games and Equilibrium Selection (1993)Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All? (2004)Financial Intermediaries and Markets (2004)Local Economic Development, Agglomeration Economies, and the Big Push: 100 Years of Evidence from the Tennessee Valley Authority * (2013)The Pricing of Options and Corporate Liabilities (1973)Testing Density Forecasts, With Applications to Risk Management (2001)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Limited market participation and volatility of asset prices (1993)Agent-based computational finance: Suggested readings and early research (2000)Institutional Investors and Stock Market Volatility (2006)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2002Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks911 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2003Efficient market hypothesis and forecasting516 cited
  • 1988The International Crash of October 1987394 cited
  • 2002The fiscal cost implications of an accommodating approach to banking crises343 cited
  • 2002The emperor has no clothes: Limits to risk modelling323 cited
  • 1987Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence305 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • 2013The amendment to the capital accord to incorporate market risk283 cited
  • 1989Price Volatility, International Market Links, and Their Implications for Regulatory Policies239 cited

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  • 1995A General Equilibrium Model of Portfolio Insurance170 cited
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    • 2015Risk culture in financial organisations18 cited