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Citations for "The emperor has no clothes: Limits to risk modelling"

by Danielsson, Jon

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  1. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
  2. Clovis Rugemintwari & Alain Sauviat & Amine Tarazi, 2012. "Bâle 3 et la réhabilitation du ratio de levier des banques : Pourquoi et comment ?," Post-Print hal-00785636, HAL.
  3. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
  4. Alessandro Roncaglia, 2012. "Keynesian uncertainty and the shaky foundations of statistical risk assessment models," PSL Quarterly Review, Economia civile, vol. 65(263), pages 437-454.
  5. Funk, Matt, 2007. "On the Problem of Dependent People: hyperbolic discounting in Atlantic Canadian island jurisdictions," MPRA Paper 14522, University Library of Munich, Germany.
  6. Daníelsson, Jón, 2008. "Blame the models," Journal of Financial Stability, Elsevier, vol. 4(4), pages 321-328, December.
  7. Pagano, Marco, 2014. "Lessons from the European financial crisis," CFS Working Paper Series 486, Center for Financial Studies (CFS).
  8. Orlowski, Lucjan T., 2012. "Financial crisis and extreme market risks: Evidence from Europe," Review of Financial Economics, Elsevier, vol. 21(3), pages 120-130.
  9. Kurt Hess & Arthur Grimes & Mark Holmes, 2009. "Credit Losses in Australasian Banking," The Economic Record, The Economic Society of Australia, vol. 85(270), pages 331-343, 09.
  10. Gregory, Allan W. & Reeves, Jonathan J., 2008. "Interpreting Value at Risk (VaR) forecasts," Economic Systems, Elsevier, vol. 32(2), pages 167-176, June.
  11. Isac BORS, 2011. "The Issue of the Financial Regulations and the Crisis – Romanian Case," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 326-330.
  12. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  13. Eufinger, Christian & Gill, Andrej, 2012. "Basel III and CEO compensation: a new regulation attempt after the crisis," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62056, Verein für Socialpolitik / German Economic Association.
  14. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, 08.
  15. Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
  16. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, 01.
  17. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  18. Eufinger, Christian & Gill, Andrej, 2013. "Basel III and CEO compensation in banks: Pay structures as a regulatory signal," SAFE Working Paper Series 9, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  19. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  20. Terence D.Agbeyegbe, 2003. "The tail behavior of stock index return on the Jamaican Stock Exchange," Economics Working Paper Archive at Hunter College 305, Hunter College Department of Economics.
  21. O'Brien, James M. & Szerszen, Pawel J., 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
  22. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  23. Edgardo Barandiarán, 2003. "El Prestamista de Última Instancia en la Nueva Industria Bancaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 337-358.
  24. Alessandro Ronaglia, 2012. "Note bibliografiche: Gallino L. (a cura di): La lotta di classe dopo la lotta di classe," Moneta e Credito, Economia civile, vol. 65(260), pages 335-339.
  25. Signori, Ombretta & Malongo, Hassan & Fermanian, Jean-David & Brière, Marie, 2012. "Volatility Strategies for Global and Country Specific European Investors," Economics Papers from University Paris Dauphine 123456789/9298, Paris Dauphine University.
  26. Adrián F. Rossignolo & Víctor A. Álvarez, 2015. "Has the basel committee got it right? Evidence from commodity positions in turmoil," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
  27. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.