Estimation and testing of dynamic models with generalised hyperbolic innovations
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic...
A model to Analyse financial fragility: applications
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general...
A speech by Sir Howard Davies 'Creating a Single Financial Market in Europe: What Do We Mean?'
Speech by Sir Howard Davies at the FMG lecture of 3rd February 2004.
A speech by Sir Andrew Large 'Financial Stability Oversight, Past & Present'
Speech by Sir Andrew Large, Deputy Governor, Bank of England at the LSE, Thursday 22nd January 2004.
Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method
Our procedure here is to try to reconstruct a typical bank portfolio for a country and then, holding the presumed loan book unchanged over time, (i.e...
Block-booking and IPO share allocation: the importance of being ignorant
Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...
Principal agent problems under loss aversion: an application to executive stock options
Executive stock options reward success but do not penalise failure. In contrast, the standard principal- agent model implies that pay is normally...
Consistent testing for stochastic dominance: a subsampling approach
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...
Are annuities value for money?: who can afford them?
This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...
The Challenge of European Integration for Prudential Policy
The economic unification of Europe is taking a long time. It has become more challenging with the advent of financial integration and the single...
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...
Macroeconomic news, order flows and exchange rates
Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...
What is a Promise from the Government Worth? Measuring and Assessing the Implications of Political Risk in State and Personal Pension Schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
Common Factors in Conditional Distributions for Bivariate Time Series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
