Paul H. Kupiec : Citation Profile

Are you Paul H. Kupiec?

American Enterprise Institute

12

H index

14

i10 index

1330

Citations

RESEARCH PRODUCTION:

31

Articles

45

Papers

1

Chapters

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 38
   Journals where Paul H. Kupiec has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 9 (0.67 %)

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   Permalink: http://citec.repec.org/pku379
   Updated: 2024-12-03    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Paul H. Kupiec.

Is cited by:

Degiannakis, Stavros (24)

Lopez, Jose (15)

Hurlin, Christophe (14)

Nguyen, Duc Khuong (13)

Dionne, Georges (12)

Hammoudeh, Shawkat (12)

Weron, Rafał (11)

Chen, Cathy W. S. (11)

Varotto, Simone (11)

Prescott, Edward (10)

Daripa, Arup (10)

Cites to:

Bernanke, Ben (7)

Romer, Christina (4)

merton, robert (4)

Scholes, Myron (4)

Gordy, Michael (4)

Calomiris, Charles (4)

Cole, Rebel (4)

Gertler, Mark (4)

Rajan, Raghuram (4)

Berger, Allen (4)

Marino, Anthony (4)

Main data

Where Paul H. Kupiec has published?

Journals with more than one article published# docs
Journal of Risk Management in Financial Institutions6
Journal of Financial Stability5
Journal of Applied Corporate Finance4
Journal of Financial Services Research4
Journal of Futures Markets3

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)26
AEI Economics Working Papers / American Enterprise Institute13
IMF Working Papers / International Monetary Fund4

Recent works citing Paul H. Kupiec (2024 and 2023)

YearTitle of citing document
2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2023Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664.

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2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2023A CEOs expertise power and bank diversification. (2023). Nadeem, Muhammad ; Gan, Christopher ; Ali, Maisam. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:3815-3840.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2024An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2024Optimal Testing in Disclosure Games. (2024). Mass, Helene ; Lichtig, Avi. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_543.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Measuring Fraud in Banking and its Impact on the Economy: A Quasi-Natural Experiment. (2023). Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp755.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308.

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2023Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-48.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2023How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2024The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2023Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2023Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market. (2023). Quaglia, Federico ; Grossi, Luigi ; Lisi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001238.

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2023Distributional neural networks for electricity price forecasting. (2023). Weron, Rafał ; Ziel, Florian ; Narajewski, Micha ; Marcjasz, Grzegorz. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419.

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2023Modeling extreme risk spillovers between crude oil and Chinese energy futures markets. (2023). Ren, Xiaohang ; JAWADI, Fredj ; Li, Yiying ; Bu, Ruijun ; Sun, Xianming. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005054.

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2023Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2024Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk. (2024). Li, Zongyuan ; Lai, Rose Neng. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000954.

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2023Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

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2023Bail-in requirements and CoCo bond issuance. (2023). Neitzert, Florian ; Hertrampf, Patrick ; Kund, Arndt-Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007450.

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2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x.

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2023Tail risk in the Chinese stock market: An AEV model on the maximal drawdowns. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006669.

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2023Unveiling the diversification capabilities of carbon markets in NFT portfolios. (2023). Esparcia, Carlos ; Diaz, Antonio ; Huelamo, Diego. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010048.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023Bank regulations and surges and stops in credit: Panel evidence. (2023). Vasilakis, Chrysovalantis ; Thornton, John. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000347.

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2023TLAC bonds and bank risk-taking. (2023). Suzuki, Katsushi ; Homma, Yasutake. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s104244312300063x.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. (2023). Andreeva, Galina ; Crook, Jonathan ; Bocchio, Cecilia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677.

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2023Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776.

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2023Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2023Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831.

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2024Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link. (2024). Farraj, Nermeen Abi ; Naimy, Viviane ; Montero, Jose-Maria ; el Khoury, Rim. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123003038.

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2023.

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2023Research on Risk Measurement of China’s Carbon Trading Market. (2023). He, Chunlei ; Duan, Yanzhi ; Wang, Zhong ; Tang, Nan ; Yao, LI. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:23:p:7879-:d:1292690.

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2023Spatial Multivariate GARCH Models and Financial Spillovers. (2023). Cameletti, Michela ; Rujirarangsan, Kamonchai ; Torri, Gabriele ; Giacometti, Rosella. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:397-:d:1233944.

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2023The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns. (2023). Chikobvu, Delson ; Ndlovu, Thabani. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:100-:d:1160157.

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2023The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

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2023Dependence Analysis of the ISE100 Banking Sector Using Vine Copula. (2023). Evkaya, Ozan ; Gur, Ismail ; Poyraz, Gulden ; Kulekci, Bukre Yildirim. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:55-81.

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2023CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*. (2023). Kole, Erik ; van Dijk, Dick ; Barendse, Sander. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568..

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2023Measurement of risk spillover effect based on EV-Copula method. (2023). Xu, Weiqi ; Zhao, Yuexu. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02287-5.

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2023Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6.

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2023Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT). (2023). Navarro, Angeles M ; Lopez-Martin, Carmen ; Benito, Sonia. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00106-w.

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2023Backtesting VaR Models: A Τwo-Stage Procedure. (2007). Degiannakis, Stavros ; Angelidis, Timotheos. In: MPRA Paper. RePEc:pra:mprapa:80418.

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2023Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462.

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2023Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy. (2023). Pati, Ambika Prasad ; Bhattacharjee, Nandita. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:12:y:2023:i:2:p:186-217.

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2023Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8.

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2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

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2023Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. (2023). Cheng, Jie. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02360-7.

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2023Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3.

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More than 100 citations found, this list is not complete...

Works by Paul H. Kupiec:

YearTitleTypeCited
2019Policy uncertainty, financial stability, and stress testing In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper0
2019Policy uncertainty and bank stress testing In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper2
2020Policy uncertainty and bank stress testing.(2020) In: Journal of Financial Stability.
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2014Can the single point of entry strategy be used to recapitalize a failing bank? In: AEI Economics Working Papers.
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2015Testing for systemic risk using stock returns In: AEI Economics Working Papers.
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2016Testing for Systemic Risk Using Stock Returns.(2016) In: Journal of Financial Services Research.
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2015Portfolio diversification in concentrated bond and loan portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios.(2015) In: AEI Economics Working Papers.
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2015Will TLAC regulations fix the G-SIB too-big-to-fail problem? In: AEI Economics Working Papers.
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2016Will TLAC regulations fix the G-SIB too-big-to-fail problem?.(2016) In: Journal of Financial Stability.
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2015Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail? In: AEI Economics Working Papers.
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2016Fixing prompt corrective action In: AEI Economics Working Papers.
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2018Inside the black box: The accuracy of alternative stress test models In: AEI Economics Working Papers.
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2017The leverage ratio is not the problem In: AEI Economics Working Papers.
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2018On the accuracy of alternative approaches for calibrating bank stress test models In: AEI Economics Working Papers.
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2018On the accuracy of alternative approaches for calibrating bank stress test models.(2018) In: Journal of Financial Stability.
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1995A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY In: Contemporary Economic Policy.
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2021American Enterprise Institute Roundtable: Government Policies Reshape the Banking System In: Journal of Applied Corporate Finance.
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2023Depositor discipline and the banking panic of 2023 In: Journal of Applied Corporate Finance.
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2023Depositor discipline and the banking panic of 2023.(2023) In: Journal of Applied Corporate Finance.
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2024Systemic risk and unrealized losses in the banking system In: Journal of Applied Corporate Finance.
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1991 Animal Spirits, Margin Requirements, and Stock Price Volatility. In: Journal of Finance.
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1990Animal spirits, margin requirements, and stock price volatility.(1990) In: Finance and Economics Discussion Series.
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1989Animal spirits, margin requirements, and stock price volatility.(1989) In: Finance and Economics Discussion Series.
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2015Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank? In: Journal of Financial Stability.
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2017Does bank supervision impact bank loan growth? In: Journal of Financial Stability.
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2013Bank failures and the cost of systemic risk: Evidence from 1900 to 1930 In: Journal of Financial Intermediation.
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2001Estimating Credit Risk Capital: Whats the Use? In: Journal of Risk Finance.
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1990Futures margins and stock price volatility: is there any link? In: Finance and Economics Discussion Series.
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1989Futures margins and stock price volatility: is there any link?.(1989) In: Finance and Economics Discussion Series.
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1993Futures margins and stock price volatility: Is there any link?.(1993) In: Journal of Futures Markets.
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1990A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series.
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1990Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities In: Finance and Economics Discussion Series.
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1991Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities.(1991) In: OECD Economics Department Working Papers.
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1990A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series.
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1991Prudential margin policy in a futures-style settlement system In: Finance and Economics Discussion Series.
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1991Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform In: Finance and Economics Discussion Series.
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1991Noise traders, excess volatility, and securities transaction tax In: Finance and Economics Discussion Series.
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1995Noise traders, excess volatility, and a securities transactions tax.(1995) In: Finance and Economics Discussion Series.
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1992Dividend-price ratios and expected inflation: is there more to the story than the proxy effect? In: Finance and Economics Discussion Series.
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1997The pre-commitment approach: using incentives to set market risk capital requirements In: Finance and Economics Discussion Series.
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1997Margin requirements, volatility, and market integrity: what have we learned since the crash? In: Finance and Economics Discussion Series.
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1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?.(1998) In: Journal of Financial Services Research.
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1997Deposit insurance, bank incentives, and the design of regulatory policy In: Finance and Economics Discussion Series.
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1998Deposit insurance, bank incentives, and the design of regulatory policy.(1998) In: Economic Policy Review.
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1992On the ramifications of a securities transaction tax for the function and efficiency of capital markets In: Finance and Economics Discussion Series.
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1989Initial margin requirements and stock returns volatility: another look In: Finance and Economics Discussion Series.
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1989A survey of exchange-traded basket instruments In: Finance and Economics Discussion Series.
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1989Microeconomic sources of beta risk instability In: Finance and Economics Discussion Series.
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1993On the efficacy of a portfolio approach to margin setting in a futures- style settlement system In: Finance and Economics Discussion Series.
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1993The performance of S&P500 futures product margins under the span margining system In: Finance and Economics Discussion Series.
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1994The performance of S&P 500 futures product margins under the SPAN margining system.(1994) In: Journal of Futures Markets.
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1995The use of bank trading risk models for regulatory capital purposes In: Finance and Economics Discussion Series.
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1995Techniques for verifying the accuracy of risk measurement models In: Finance and Economics Discussion Series.
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1995A pre-commitment approach to capital requirements for market risk In: Finance and Economics Discussion Series.
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1995A pre-commitment approach to capital requirements for market risk..(1995) In: Proceedings.
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1995Recent developments in bank capital regulation of market risks In: Finance and Economics Discussion Series.
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1996Regulatory competition and the efficiency of alternative derivative product margining systems In: Finance and Economics Discussion Series.
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1996Regulatory competition and the efficiency of alternative derivative product margining systems.(1996) In: Journal of Futures Markets.
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2001The New Basel Capital Accord: The Devil Is in the (Calibration) Details In: IMF Working Papers.
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2002Calibrating Your Intuition: Capital Allocation for Market and Credit Risk In: IMF Working Papers.
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2002Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives In: IMF Working Papers.
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2002Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk In: IMF Working Papers.
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2007Financial stability and Basel II In: Annals of Finance.
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2007Capital Allocation for Portfolio Credit Risk In: Journal of Financial Services Research.
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2012Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference In: Journal of Financial Services Research.
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2004Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation In: The Journal of Real Estate Finance and Economics.
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2005Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2005The IMF–World Bank Financial Sector Assessment Program: A View from the Inside In: World Scientific Book Chapters.
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