Technical paper/Financial crisis
Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
Benefits and risks of central clearing in the repurchase agreement market
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Measuring system-wide resilience of central counterparties
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
Risk management and regulation
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
The econometrics of Bayesian graphical models: a review with financial application
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Systemic risk and the sovereign-bank default nexus: a network vector autoregression approach
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis
This paper evaluates the Korean repo market in the light of the global financial crisis.
