Working Papers

2020

The Term Structure of Market Fear: Central Bank Responses to Covid-19 The Impact of Risk Cycles on Business Cycles: A Historical View Artificial intelligence and systemic risk

2019

Cryptocurrencies: Policy, economics and fairness

2018

Designating market maker behaviour in Limit Order Book markets Market Resilience Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks Learning from History: Volatility and Financial Crises

2017

Challenges in implementing worst-case analysis Can we prove a bank guilty of creating systemic risk? A minority report Model risk of risk models Why risk is so hard to measure

2016

Tail Index Estimation: Quantile Driven Threshold Selection

2015

Pitfalls in Worst Case Analysis

2014

Risk models-at-risk

2013

Endogenous and systemic risk Robust forecasting of dynamic conditional correlation GARCH models

2012

Endogenous extreme events and the dual role of prices Procyclical leverage and endogenous risk Exchange rate determination and inter-market order flow effects Regime switches in the volatility and correlation of financial institutions Fat tails, VaR and subadditivity Liquidity determination in an order driven market Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk

2011

On the impact of fundamentals, liquidity and coordination on market stability Lessons from a collapse of a financial system Balance sheet capacity and endogenous risk

2009

On the efficacy of financial regulations Collapse of a country Risk appetite and endogenous risk Hagkerfi b'idhur skipbrot

2008

Complexity kills D'aleidd af bankastarfsemi Blame the models Blame the Models Equilibrium asset pricing with systemic risk Complexity kills Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation Consistent Measures of Risk

2007

Regulating hedge funds Currency crises, (hidden) linkages, and volume

2006

Feedback trading Highwaymen or heroes: Should hedge funds be regulated? On time-scaling of risk and the square-root-of-time rule Comparing downside risk measures for heavy tailed distributions

2005

Countercyclical Capital and Currency Dependence

2004

The impact of risk regulation on price dynamics

2003

Regulation incentives for risk management in incomplete markets What happens when you regulate risk? Evidence from a simple equilibrium model Where do extremes matter? Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis On the feasibility of risk based regulation

2002

Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2 Endogenous risk The inter-temporal nature of risk Incentives for effective risk management Real trading patterns and prices in spot foreign exchange markets The Emperor has no clothes: Limits to risk modelling Asset Price Dynamics with Value-at-Risk Constrained Traders

2001

Using a bootstrap method to choose the sample fraction in tail index estimation An academic response to Basel II

1998

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations The cost of conservatism: Extreme returns, Value-at-Risk, and the Basle 'multiplication factor'