“Honey, the Bank Might Go Bust”: The Response of Finance Professionals to a Banking System Shock,
Glenn Boyle, Roger Stover, Amrit Tiwana and Oleksandr Zhylyevskyy,
from University of Canterbury, Department of Economics and Finance
(2016)
Keywords: finance professionals; banking crisis; conjoint analysis, deposit insurance
Portfolio analysis in jump-diffusion model with power-law tails,
Pawel Kliber,
from International Institute of Social and Economic Sciences
(2016)
Keywords: portfolio analysis, jump-diffusion models, power-law, risk of extremes, Fast Fourier Transform
Financial Regulation in a Quantitative Model of the Modern Banking System,
Tim Landvoigt and Juliane Begenau,
from Society for Economic Dynamics
(2016)
Value-at-Risk Prediction in R with the GAS Package,
David Ardia, Kris Boudt and Leopoldo Catania,
from arXiv.org
(2016)
Measuring Systemic Stress in European Banking Systems*,
Heather Gibson, Stephen Hall and George Tavlas,
from Division of Economics, School of Business, University of Leicester
(2016)
Keywords: euro area financial crisis, systemic stress, financial instability, European banks
The Persistence of Financial Distress,
Juan Sanchez, Jose Mustre-del-Rio and Kartik Athreya,
from Society for Economic Dynamics
(2016)
Prepayment Risk and Expected MBS Returns,
Peter Diep, Andrea Eisfeldt and Scott Richardson,
from National Bureau of Economic Research, Inc
(2016)
The determinants of CDS spreads: Evidence from the model space,
Matthias Pelster and Johannes Vilsmeier,
from Deutsche Bundesbank
(2016)
Keywords: CDS, bayesian model averaging, crash aversion, tail risk, tail dependence, time-varying copulas
The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model,
Paul S. Calem and Rafael Rob,
from Board of Governors of the Federal Reserve System (U.S.)
(2019)
Learning from History: Volatility and Financial Crises,
Jon Danielsson, Marcela Valenzuela and Ilknur Zer,
from Board of Governors of the Federal Reserve System (U.S.)
(2016)
Keywords: Stock market volatility; Financial crises predictability; Volatility paradox; Minsky hypothesis; Financial instability; Risk-taking
The Impact of Bunker Risk Management on CO2 Emissions in Maritime Transportation Under ECA Regulation,
Yewen Gu, Stein Wallace and Xin Wang,
from Norwegian School of Economics, Department of Business and Management Science
(2016)
Keywords: Bunker risk management; Maritime bunker management; CO2 emissions; Stochastic programming; ECA; Fuel hedging; Sailing behavior
What was fair in actuarial fairness?,
Antonio Heras Martínez, David Teira and Pierre-Charles Pradier,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2016)
Keywords: actuarial fairness; mathematical expectation; life insurance; annuity; risk
The Lila distribution and its applications in risk modelling,
Bertrand K. Hassani and Wei Yang,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2016)
Keywords: probability distribution; parametric distribution; multimodal distribution; operational risk; market risk; pseudo bi-modal distribution
Regulation and Rational Banking Bubbles in Infinite Horizon,
Claire Chevallier and Sarah El Joueidi,
from Department of Economics at the University of Luxembourg
(2016)
Keywords: Banking bubbles; banking regulation; DSGE; infinitely lived agents; multiple equilibria; Value-at-Risk