Tail Index Estimation: Quantile Driven Threshold Selection
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...
The macro-micro conflict
There has always been conflict between macro- and microeconomic regulation. Microeconomic policy reigns supreme during good times, and macro during...
Volatility, financial crises and Minsky's hypothesis
Does low volatility in financial markets mean that another financial crisis is more likely? And should we be worried when everything is OK? This...
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report
Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally...
Iceland, Greece and political hectoring
The Greek and the Icelandic crisis have much in common, not the least the heavy pressure from foreign countries and the hectoring from their public...
A proposed research and policy agenda for systemic risk
The long-running Greek crisis and China’s recent stock market crash are the latest threats to the stability of the global financial system. But as...
Are asset managers systemically important?
Some financial authorities have proposed designating asset managers as systemically important financial institutions (SIFIs). This column argues that...
Why Iceland can now remove capital controls
Iceland has just announced it is getting rid of its capital controls. This column argues that the government’s plan is a credible, efficient and fair...
Why risk is hard to measure
Regulators and financial institutions increasingly depend on statistical risk forecasting. This column argues that most risk modelling approaches are...
Why risk is so hard to measure
This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the...
Post-Crisis banking regulation: Evolution of economic thinking as it happened on Vox
This column introduces a new Vox eBook collecting some of the best Vox columns on financial regulations, starting with the fundamentals of financial...
Post-Crisis Banking Regulation: Evolution of economic thinking as it happened on Vox
This eBook collects some of the best Vox columns on financial regulations, starting with the fundamentals of financial regulations, moving on to bank...
Europe’s proposed capital markets union: Disruption will drive investment and innovation
The proposed EU capital markets union aims to revitalise Europe’s economy by creating efficient funding channels between providers of loanable funds...
What the Swiss FX shock says about risk models
The Swiss central bank last week abandoned its euro exchange rate ceiling. This column argues that the fallout from the decision demonstrates the...
Averting financial crisis
Jeffrey Chwieroth and Jon Danielsson discuss the political challenges of the macroprudential agenda in the ESRC's annual flagship magazine Britain in...
