Working Papers

2018

Learning from History: Volatility and Financial Crises

2017

Challenges in implementing worst-case analysis Why risk is so hard to measure

2016

Model risk of risk models Can we prove a bank guilty of creating systemic risk? A minority report Tail Index Estimation: Quantile Driven Threshold Selection

2015

Designating Market Maker Behaviour in Limit Order Book Markets

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

2009

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

2008

D'aleidd af bankastarfsemi Blame the Models Equilibrium asset pricing with systemic risk Consistent Measures of Risk

2007

Regulating hedge funds Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation 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

Subadditivity re-examined: The case for Value-at-Risk Countercyclical Capital and Currency Dependence

2004

The impact of risk regulation on price dynamics

2003

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

2002

Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2 The Emperor has no clothes: Limits to risk modelling Endogenous risk The inter-temporal nature of risk Incentives for effective risk management Real trading patterns and prices in spot foreign exchange markets On the feasibility of risk based regulation

2001

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

2000

Value-at-Risk and extreme returns

1998

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