101 Formulaic Alphas
The Golden Dilemma
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The Golden Dilemma
The Crisis of Fair Value Accounting: Making Sense of the Recent Debate
Mean-Reversion and Optimization
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Value-at-Risk: Implementing a Risk Measurement Standard
Competition and Crisis in Mortgage Securitization
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Competition and Crisis in Mortgage Securitization
Competition and Crisis in Mortgage Securitization
The Promise and Perils of Credit Derivatives
The Probability of Backtest Overfitting
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The Probability of Backtest Overfitting
The Probability of Backtest Overfitting
Building Diversified Portfolios that Outperform Out-of-Sample
Did Securitization Lead to Lax Screening? Evidence from Subprime Loans
Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2015: A Survey
151 Trading Strategies
Forecasting Default with the Kmv-Merton Model
Economists' Hubris - The Case of Risk Management
Non-Life Insurance: Mathematics & Statistics
A Comparative Anatomy of Credit Risk Models
Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Socially Expensive
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
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Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Country Risk: Determinants, Measures and Implications - The 2018 Edition
Valuing Interest Rate Swaps Using OIS Discounting
Statistical Risk Models
Measuring Loss Potential of Hedge Fund Strategies
The Siskel and Ebert of Financial Markets: Two Thumbs Down for the Credit Rating Agencies
Systemic Risk: A Survey
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Stress-Testing Financial Systems: An Overview of Current Methodologies
Forecasting a Volatility Tsunami
Network Structure and Systemic Risk in Banking Systems
Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions
Measuring Systemic Risk
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Measuring Systemic Risk
Modelling Operational Risk
The Paradox of Credit Ratings
Enterprise Risk Management: Theory and Practice
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Enterprise Risk Management: Theory and Practice
Enterprise Risk Management: Theory and Practice
Pension Fund Asset Allocation and Liability Discount Rates
Mean-Variance Investing
Multifactor Risk Models and Heterotic CAPM
Credit Rating Agencies and the 'Worldwide Credit Crisis': The Limits of Reputation, the Insufficiency of Reform, and a Proposal for Improvement
Backtesting
Introduction to Applied Stress Testing
Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking
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Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking
Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking
Using Loss Data to Quantify Operational Risk
Implementing Momentum: What Have We Learned?
Risk Management in an Asset Management Company: A Practical Case
Does Fair Value Accounting Contribute to Systemic Risk in the Banking Industry?
Systemic Risk and Hedge Funds
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Systemic Risk and Hedge Funds
Systemic Risk and Hedge Funds
A Survey of Systemic Risk Analytics
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A Survey of Systemic Risk Analytics
A Survey of Systemic Risk Analytics
The Future of Peer-to-Peer Finance
The Effect of Credit Risk on the Performance of Commercial Banks in Nigeria
A Model of Credit Risk, Optimal Policies, and Asset Prices
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A Model of Credit Risk, Optimal Policies, and Asset Prices
A Model of Credit Risk, Optimal Policies, and Asset Prices
A Model of Credit Risk, Optimal Policies, and Asset Prices
A Model of Credit Risk, Optimal Policies, and Asset Prices
A Model of Credit Risk, Optimal Policies and Asset Prices
Bank Failure, Mark-to-Market and the Financial Crisis
There are 2 versions of this paper