| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A general approach to integrated risk management with skewed, fat-tailed risks |
0 |
0 |
1 |
794 |
1 |
1 |
7 |
1,713 |
| Bank Capital for Operational Risk: A Tale of Fragility and Instability |
0 |
0 |
1 |
15 |
0 |
0 |
4 |
49 |
| Businessmen's Expectations Are Neither Rational nor Adaptive |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
215 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
0 |
1 |
9 |
419 |
0 |
5 |
23 |
1,494 |
| Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? |
0 |
1 |
2 |
584 |
0 |
1 |
4 |
2,057 |
| Estimating probabilities of default |
0 |
0 |
2 |
282 |
0 |
1 |
6 |
658 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
0 |
0 |
0 |
1,721 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
771 |
| Firm Heterogeneity and Credit Risk Diversification |
0 |
0 |
0 |
284 |
0 |
0 |
0 |
684 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
1 |
1 |
209 |
1 |
2 |
4 |
535 |
| Forecasting Economic and Financial Variables with Global VARs |
0 |
0 |
0 |
313 |
1 |
1 |
4 |
923 |
| Forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
336 |
1 |
2 |
4 |
674 |
| Global Business Cycles and Credit Risk |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
545 |
| Global Business Cycles and Credit Risk |
0 |
0 |
1 |
206 |
0 |
0 |
2 |
616 |
| Hedge funds, financial intermediation, and systemic risk |
1 |
1 |
1 |
240 |
1 |
1 |
2 |
682 |
| Hedging bank liquidity risk |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
89 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
0 |
512 |
0 |
0 |
2 |
1,738 |
| How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998 |
0 |
0 |
0 |
355 |
0 |
0 |
0 |
1,206 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
1 |
2 |
579 |
0 |
1 |
7 |
1,347 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
2 |
382 |
0 |
0 |
7 |
975 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
0 |
0 |
1,290 |
1 |
1 |
4 |
3,121 |
| Macroprudential supervision of financial institutions: lessons from the SCAP |
0 |
0 |
0 |
134 |
0 |
0 |
2 |
345 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
1 |
1,226 |
0 |
1 |
6 |
4,571 |
| Measurement and Estimation of Credit Migration Matrices |
0 |
0 |
1 |
1,022 |
0 |
0 |
3 |
2,564 |
| Metrics for Comparing Credit Migration Matrices |
0 |
4 |
8 |
927 |
1 |
6 |
17 |
2,605 |
| Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management |
0 |
0 |
1 |
56 |
1 |
3 |
9 |
201 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
1 |
526 |
0 |
0 |
5 |
1,329 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
5 |
1,407 |
0 |
2 |
19 |
3,603 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
3 |
1,166 |
0 |
1 |
6 |
2,554 |
| Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
2 |
7 |
651 |
1 |
8 |
25 |
1,553 |
| Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model |
0 |
2 |
4 |
56 |
0 |
3 |
7 |
182 |
| Modelling regional interdependencies using a global error-correcting macroeconometric model |
1 |
1 |
2 |
314 |
1 |
2 |
7 |
751 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
635 |
1 |
2 |
3 |
1,232 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
854 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
0 |
0 |
1,605 |
0 |
0 |
7 |
3,601 |
| Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates |
0 |
1 |
9 |
1,967 |
0 |
1 |
14 |
5,391 |
| Robust Capital Regulation |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
188 |
| Robust capital regulation |
0 |
0 |
0 |
143 |
0 |
1 |
3 |
361 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
283 |
0 |
0 |
0 |
1,027 |
| Scope for Credit Risk Diversification |
0 |
0 |
0 |
122 |
0 |
0 |
0 |
650 |
| Stress Testing Bank Profitability |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
69 |
| Stress Testing Banks |
0 |
2 |
4 |
73 |
1 |
3 |
10 |
159 |
| Stress Testing Convergence |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
128 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
68 |
| Stress Testing in Wartime and in Peacetime |
0 |
0 |
0 |
29 |
0 |
0 |
3 |
62 |
| The New Basel Capital Accord and Questions for Research |
0 |
0 |
0 |
1,059 |
0 |
1 |
7 |
2,026 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
190 |
0 |
0 |
0 |
633 |
| The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification |
0 |
0 |
0 |
81 |
0 |
0 |
0 |
339 |
| Understanding the securitization of subprime mortgage credit |
0 |
2 |
4 |
852 |
1 |
4 |
15 |
2,097 |
| Visible and hidden risk factors for banks |
0 |
0 |
1 |
393 |
0 |
0 |
3 |
1,708 |
| Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
287 |
| Total Working Papers |
2 |
20 |
73 |
22,411 |
14 |
56 |
263 |
62,951 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A general approach to integrated risk management with skewed, fat-tailed risks |
0 |
0 |
2 |
230 |
0 |
1 |
17 |
625 |
| A review of recent books on credit risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| A review of recent books on credit risk |
0 |
0 |
0 |
83 |
1 |
1 |
1 |
316 |
| Bank capital for operational risk: A tale of fragility and instability |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing |
0 |
0 |
0 |
9 |
0 |
1 |
2 |
28 |
| Changing Regulatory Capital to Include Liquidity and Management Intervention |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Confidence intervals for probabilities of default |
0 |
1 |
2 |
161 |
0 |
1 |
4 |
397 |
| Credit rating dynamics and Markov mixture models |
0 |
0 |
5 |
112 |
0 |
0 |
7 |
305 |
| Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? |
0 |
1 |
1 |
46 |
0 |
1 |
2 |
172 |
| Firm heterogeneity and credit risk diversification |
0 |
0 |
0 |
58 |
0 |
0 |
2 |
222 |
| Forecasting economic and financial variables with global VARs |
1 |
2 |
2 |
198 |
2 |
9 |
21 |
559 |
| Guest Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Hedge funds, financial intermediation, and systemic risk |
0 |
0 |
0 |
157 |
0 |
0 |
1 |
481 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
0 |
0 |
0 |
756 |
| Macroeconomic Dynamics and Credit Risk: A Global Perspective |
0 |
2 |
10 |
469 |
2 |
10 |
37 |
1,184 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
6 |
316 |
0 |
3 |
17 |
942 |
| Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
31 |
| Managing the risk of climate change |
0 |
0 |
3 |
3 |
0 |
0 |
7 |
7 |
| Measurement, estimation and comparison of credit migration matrices |
2 |
4 |
15 |
243 |
3 |
5 |
26 |
594 |
| Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model |
0 |
1 |
2 |
689 |
0 |
3 |
13 |
1,334 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
0 |
4 |
464 |
0 |
4 |
17 |
1,112 |
| Rejoinder |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
72 |
| Rejoinder to comments on forecasting economic and financial variables with global VARs |
0 |
0 |
0 |
38 |
0 |
0 |
2 |
118 |
| Robust capital regulation |
0 |
0 |
0 |
102 |
0 |
0 |
3 |
334 |
| Stress testing bank profitability |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Stress testing banks |
1 |
7 |
21 |
351 |
5 |
13 |
45 |
717 |
| Stress testing convergence |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico |
1 |
1 |
2 |
72 |
1 |
1 |
2 |
266 |
| Understanding the Securitization of Subprime Mortgage Credit |
1 |
1 |
5 |
62 |
2 |
5 |
17 |
257 |
| What is enterprise risk management? |
0 |
0 |
2 |
4 |
1 |
2 |
11 |
15 |
| Why were banks better off in the 2001 recession? |
0 |
0 |
0 |
96 |
0 |
0 |
0 |
303 |
| Total Journal Articles |
6 |
20 |
82 |
4,174 |
17 |
60 |
259 |
11,157 |
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