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...
SP 100
The Inflation Target Five Years On
This paper represents the speech delivered by Mervyn King, Bank of England, at the London School of Economics, Wednesday 29th October at 5.30pm.
SP 99
Does Debt Discipline State-Owned Firms? Evidence From A panel of Italian Firms
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SP 98
Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
This study assesses the state of the policy debate that surrounds the Federal regulation of margin requirements. A relatively comprehensive review of...
SP 97
The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
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SP 95
The Future of Financial Services Regulation Some Reflections from the Inside
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SP 94
Forecast Biases in Value-at-risk Estimations: Evidence From Foreign Exchange and Global Equity Portfolios
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SP 93
The Equivalence of Screen Based Continuous-Auction and Dealer Markets
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer...
SP 92
Rules v Discretion: The Case of Banking Supervision in the Light of the Debate on Monetary Policy
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SP 85
