Highwaymen or heroes: should hedge funds be regulated?
Our objective was to study the need for regulating hedge funds, using existing regulatory approaches and our own models as a frame of reference. Our...
Feedback trading
Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...
What happens when you regulate risk?: evidence from a simple equilibrium model
The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied...
On Time-scaling of Risk and the Square–root–of–time Rule
Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though...
Asset Price Dynamics with Value-at-Risk Constrained Traders
Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...
An Academic Response to Basel II
It is our view that the Basel Committee for Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the...
The Emperor has no Clothes: Limits to Risk Modelling
This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...
Real Trading Patterns and Prices in Spot Foreign Exchange Markets
Most of the existing empirical literature on FX market microstructure uses indicative quote data derived from Reuters EFX screens. This paper examines...
Beyond the Sample: Extreme Quantile and Probability Estimation
Economic problems such as large claims analysis in insurance and value-at-risk in fi- nance, require assessment of the probability P of extreme...
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplication Factor
We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better...
Value-At-Risk and Extreme Returns
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...
Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...
