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Capital Regulation for Position Risk in Banks, Securities Firms, and Insurance Companies
16 references·6 citing·33 second hop
Capital Regulation for Position Risk in Banks, Securities Firms, and Insurance Companies (2005)Capital Regulation for Position Risk in B…Rating Banks: Risk and Uncertainty in an Opaque Industry (2002)Rating Banks: Risk and Uncert…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Coherent Measures of Risk (1999)Coherent Measures of RiskOptimal Financial Crises (1998)Optimal Financial CrisesEvaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Modelling Extremal Events (1997)Modelling Extremal EventsThe role of capital in financial institutions (1995)The role of capital in financ…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …ARCH modeling in finance (1992)ARCH modeling in financeOptions, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Were there fire sales in the RMBS market? (2021)Were there fire sales in the …Final Demand for Structured Finance Securities (2017)Final Demand for Structured F…Regulation and Supervision: An Ethical Perspective (2008)Regulation and Supervision: A…What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches (2006)What We Know, Don't Know and …Implementing Basel II: Is the Game Worth the Candle? (2005)Implementing Basel II: Is the…INTERNATIONAL FINANCIAL CONGLOMERATES: IMPLICATIONS FOR BANK INSOLVENCY REGIMES (2003)INTERNATIONAL FINANCIAL CONGL…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2002Rating Banks: Risk and Uncertainty in an Opaque Industry1,244 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1998Optimal Financial Crises1,016 cited
  • 1995The role of capital in financial institutions

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Cited by

  • 2021Were there fire sales in the RMBS market?47 cited
  • 2003INTERNATIONAL FINANCIAL CONGLOMERATES: IMPLICATIONS FOR BANK INSOLVENCY REGIMES45 cited
  • 2006What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches45 cited
  • 2017Final Demand for Structured Finance Securities42 cited
  • 2008Regulation and Supervision: An Ethical Perspective42 cited
  • 2005Implementing Basel II: Is the Game Worth the Candle?29 cited