Technical paper/Systemic risk

Operational risk

Scaling operational loss data and its systemic risk implications

A scaling methodology to include external data in operational risk calculation is introduced

29 May 2015

Original research

Risk diversification: a study of persistence with a filtered correlation-network approach

27 Feb 2015

Journals

Eccentricity in asset management

21 Jan 2015

Risk management

A bill of goods: central counterparties and systemic risk

Volume 2, Issue 4 (2014)

29 Jun 2014

Original research

The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities

30 Sep 2013

Operational risk

A new operational risk assessment technique: the CASTL method

30 Sep 2013

Operational risk

Systemic operational risk: does it exist and, if so, how do we regulate it?

27 Mar 2013

Central banks

Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach

27 Sep 2012

Structured products

Perspectives on systemic risk

24 Dec 2011

Risk management

Marking systemic portfolio risk with the Merton model

Marking systemic portfolio risk with the Merton model

02 Aug 2011

Risk management

Marking systemic portfolio risk with the Merton model

Marking systemic portfolio risk with the Merton model

21 Jun 2011

Risk management

The marginal price of risk with a VaR constraint

18 Jun 2007

Infrastructure

Pro-cyclicality in the new Basel Accord

Basel II

01 Oct 2001

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