Andrew Clare

City, University of London - Bayes Business School

Professor of Asset Management

106, Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

56

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46,096

SSRN CITATIONS
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Top 10,269

in Total Papers Citations

92

CROSSREF CITATIONS

60

Scholarly Papers (56)

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 13,260 (602)

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Risk parity, trend following,bhavioral finance, momentum, global asset allocation, equities, bonds, real estate, commodities

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 08 Jun 2013
Andrew Clare, Peter N. Smith and Steve Thomas
City, University of London - Bayes Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 687 (67,665)
Citation 4

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risk parity, trend following, momentum, global asset allocation, equities, bonds,

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 16 May 2013
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 391 (135,087)
Citation 11

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risk parity, trend following, momentum, global asset allocation, equities, bonds, commodities, real estate

2.

Trend Following, Risk Parity and Momentum in Commodity Futures

Number of pages: 34 Posted: 09 Aug 2012 Last Revised: 17 Jan 2013
City University London - The Business School, City, University of London - Bayes Business School, City University London - The Business School and University of York - Department of Economics and Related Studies
Downloads 2,418 (10,814)
Citation 2

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3.

Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500

Number of pages: 19 Posted: 08 Aug 2012
City University London - The Business School, City University London - The Business School, City, University of London - Bayes Business School and University of York - Department of Economics and Related Studies
Downloads 2,097 (13,610)
Citation 9

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trend following, S&P500, stop losses, trading frequency, fundamental investment metrics

4.

Reducing Sequence Risk Using Trend Following and the CAPE Ratio

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Apr 2016 Last Revised: 10 May 2017
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,868 (16,322)
Citation 9

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following, CAPE

5.

An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes

Number of pages: 41 Posted: 01 Apr 2013
Andrew Clare, Nick Motson and Steve Thomas
City, University of London - Bayes Business School, City University London - Bayes Business School and City University London - The Business School
Downloads 1,846 (16,635)
Citation 5

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Alternative equity indices, risk-adjusted performance, Monte Carlo simulation

6.

The Gross Truth About Hedge Fund Performance and Risk: The Impact of Incentive Fees

Number of pages: 20 Posted: 19 Nov 2007
Chris Brooks, Andrew Clare and Nick Motson
University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 1,744 (18,191)
Citation 3

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hedge fund, returns, alpha, beta, fees, performance

7.

Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?

Number of pages: 34 Posted: 17 Aug 2017 Last Revised: 26 Mar 2018
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,332 (27,324)
Citation 3

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

8.

When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies

Number of pages: 30 Posted: 15 May 2014 Last Revised: 28 Feb 2018
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,233 (30,583)

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International equity; Value investing; Growth investing; Relative momentum; Trend following; Tail risk

9.

A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Number of pages: 20 Posted: 05 Dec 2004
University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School, Independent and University of Bristol - Department of Economics
Downloads 1,203 (31,686)

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Bootstrap, Value at Risk (VaR), Generalised Pareto Distribution, Parametric, Semi-nonparametric and Small Sample Bias Corrected Tail Index Estimators, GARCH models

10.

Carry and Trend Following Returns in the Foreign Exchange Market

Number of pages: 32 Posted: 22 Jul 2015
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 1,149 (33,861)

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Forward exchange rate returns, trend following, carry trade, market liquidity and exchange risk.

11.

Are Investors Better Off with Small Hedge Funds in Times of Crisis?

Number of pages: 27 Posted: 14 Jul 2015
Andrew Clare, Dirk Nitzsche and Nick Motson
City, University of London - Bayes Business School, City University London - The Business School and City University London - Bayes Business School
Downloads 1,064 (37,880)
Citation 1

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Hedge fund performance, Size, Age

12.

Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees?

Number of pages: 55 Posted: 17 Nov 2014
City, University of London - Bayes Business School, City University London - Bayes Business School, City University London - The Business School and City University London - The Business School
Downloads 1,033 (39,385)
Citation 2

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13.

An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes

Number of pages: 27 Posted: 01 Apr 2013 Last Revised: 02 Apr 2013
Steve Thomas, Andrew Clare and Nick Motson
City University London - The Business School, City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 1,020 (40,126)

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Fundamentally-weighted equity indices, risk-adjusted performance, Monte Carlo simulation

14.

Securitization and Bank Performance

Number of pages: 29 Posted: 20 Oct 2009 Last Revised: 11 Mar 2020
University of Essex - Essex Business School, City University London - The Business School, City, University of London - Bayes Business School and City University London - The Business School
Downloads 933 (45,439)
Citation 11

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Securitization, Bank Performance, Propensity Score Matching

15.

Trend Following and Momentum Strategies for Global REITs

Number of pages: 19 Posted: 08 Jun 2015
Alex Moss, Andrew Clare, Steve Thomas and James Seaton
University of Reading - Henley Business School, City, University of London - Bayes Business School, City University London - The Business School and City University London - The Business School
Downloads 841 (52,554)
Citation 3

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16.
Downloads 788 (57,301)
Citation 1

The Rehabilitation of Glidepath Investing

Number of pages: 36 Posted: 29 Mar 2019 Last Revised: 27 Oct 2019
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 438 (118,341)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum,Trend Following

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925

CAMA Working Paper No. 31/2019
Number of pages: 36 Posted: 04 Apr 2019
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 350 (152,910)
Citation 1

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum, Trend Following

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

Number of pages: 31 Posted: 17 Dec 2013
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 527 (94,753)

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Trend following; Momentum investing;tail; risk; European equity sectors, Financial Crisis.

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

CAMA Working Paper No. 8/2014
Number of pages: 32 Posted: 23 Jan 2014 Last Revised: 24 Jan 2014
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 183 (291,972)

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Trend following, Momentum investing, Tail risk, European equity sectors, Financial crisis

18.

An Analysis of the Relationship between International Bond Markets

Bank of England Working Paper No. 123, Cass Business School Research Paper
Number of pages: 36 Posted: 27 Jan 2001
Andrew Clare and Ilias Lekkos
City, University of London - Bayes Business School and Bank of England
Downloads 696 (67,491)
Citation 12

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19.

Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada

Clare, Andrew D., O'Sullivan, Niall , Sherman , Meadhbh and Thomas, Steve H., Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada, Research in International Business and Finance, (2015 Forthcoming).
Number of pages: 25 Posted: 04 Apr 2015
City, University of London - Bayes Business School, University College Cork, University College Cork and City University London - The Business School
Downloads 657 (72,678)
Citation 3

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Market timing, asset class timing, asset allocation

20.

Is there a Boutique Asset Management Premium?

Number of pages: 36 Posted: 20 Mar 2020
Andrew Clare
City, University of London - Bayes Business School
Downloads 630 (76,572)

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Boutique Asset Manager, Mutual Fund Performance

21.

The Performance of Long-Serving Fund Managers

Number of pages: 27 Posted: 10 Sep 2016
Andrew Clare
City, University of London - Bayes Business School
Downloads 610 (79,697)
Citation 1

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Mutual fund performance, Experienced fund managers

22.

Was 2016 the Year of the Monkey?

Number of pages: 18 Posted: 22 Feb 2017
Andrew Clare, Nick Motson and Steve Thomas
City, University of London - Bayes Business School, City University London - Bayes Business School and City University London - The Business School
Downloads 575 (86,069)

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Market capitalisation-weighted indices, Alternative equity indices, Smart Beta

23.

The Impact of Foreign Governing Law on European Government Bond Yields

Number of pages: 54 Posted: 10 Mar 2014
Andrew Clare and Nicolas Schmidlin
City, University of London - Bayes Business School and Sir John Cass Business School
Downloads 563 (88,189)
Citation 9

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Foreign governing bond law, Eurozone government bonds, Eurozone crisis

24.

How Many Alternative Eggs Should You Put in Your Investment Basket?

Number of pages: 19 Posted: 15 Jul 2008 Last Revised: 27 Aug 2008
Andrew Clare and Nick Motson
City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 523 (96,733)
Citation 2

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Alternative asset classes, portfolio diversification, diversifiable risk

25.

Securitization and Bank Performance: Some Empirical Evidence on US Commercial Banks

Bancaria Special Issue No.03-2010
Number of pages: 7 Posted: 12 May 2010
University of Essex - Essex Business School, City University London - The Business School, City, University of London - Bayes Business School and City University London - The Business School
Downloads 477 (108,156)

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Securitization, Bank performance

26.

An Empirical Investigation into the Performance of UK Pension Fund Managers

Number of pages: 21 Posted: 12 Jan 2009
Andrew Clare, Keith Cuthbertson and Dirk Nitzsche
City, University of London - Bayes Business School, affiliation not provided to SSRN and City University London - The Business School
Downloads 453 (114,915)
Citation 1

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27.

The Information in UK Company Profit Warnings

Bank of England Quarterly Bulletin, Spring 2001, Cass Business School Research Paper
Number of pages: 6 Posted: 26 Jul 2005
Andrew Clare
City, University of London - Bayes Business School
Downloads 433 (121,241)

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28.

Liability-Driven Investment for Pension Funds: Stochastic Optimization with Real Assets

Number of pages: 29 Posted: 23 Apr 2021 Last Revised: 09 Aug 2021
Chul Jang, Chul Jang, Andrew Clare and Iqbal Owadally
Bayes Business School, City, University of LondonHanyang University, City, University of London - Bayes Business School and Cass Business School, City, University of London
Downloads 405 (131,007)

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liability-driven investment, pension fund, real assets, stochastic programming

29.

An Examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance

Number of pages: 52 Posted: 17 Oct 2018
Andrew Clare and Mariana Clare
City, University of London - Bayes Business School and Imperial College London
Downloads 405 (131,007)

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Mutual fund performance, recursive portfolio formation

30.

Manager characteristics: Predicting fund performance

International Review of Financial Analysis, Vol. 80, 2022
Number of pages: 11 Posted: 06 Apr 2022
University College Cork, City, University of London - Bayes Business School, University College Cork, University College Cork and Principal Asset Management
Downloads 374 (143,241)
Citation 2

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mutual fund performance, manager characteristics, manager skill, performance persistence

31.

Developing a Measure of Sequence Risk

Number of pages: 27 Posted: 27 Jan 2020
City, University of London - Bayes Business School, affiliation not provided to SSRN, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 357 (150,805)

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Glidepath Investing, Sequence Risk, Perfect Withdrawal Rates, Trend Following

32.

On Luck versus Skill When Performance Benchmarks are Style-Consistent

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 01 Jun 2015
University of Surrey - Surrey Business School, Cranfield University - School of Management, City, University of London - Bayes Business School and City University London - The Business School
Downloads 352 (153,108)

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Mutual fund performance, style benchmarks, skill versus luck

33.

The Case for Integrating ESG into Fixed Income Portfolios

Number of pages: 35 Posted: 18 Jul 2022
Andrew Clare, Aneel Keswani and Nick Motson
City, University of London - Bayes Business School, Faculty of Finance, Cass Business School, City University, London and City University London - Bayes Business School
Downloads 330 (164,203)

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ESG, fixed income portfolios

34.

A Comparison of Long Bond Yields in the United Kingdom, the United States, and Germany

Bank of England Quarterly Bulletin, February 2000, Cass Business School Research Paper
Number of pages: 9 Posted: 02 Aug 2005
Martin Brooke, Andrew Clare and Ilias Lekkos
Bank of England - International Economic Analysis Division, City, University of London - Bayes Business School and Bank of England
Downloads 278 (196,532)
Citation 2

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35.

Financial Market Reactions to Interest Rate Announcements and Macroeconomic Data Releases

Bank of England Quarterly Bulletin, August 2000, Cass Business School Research Paper
Number of pages: 8 Posted: 03 Aug 2005
Andrew Clare and Roger Courtenay
City, University of London - Bayes Business School and Vizor Investment Management, London
Downloads 230 (236,978)

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36.

Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries

Number of pages: 38 Posted: 06 Feb 2012 Last Revised: 30 Jan 2013
Nashwa Saleh, Barbara Casu and Andrew Clare
City University London - The Business School, City University London - The Business School and City, University of London - Bayes Business School
Downloads 225 (242,109)
Citation 1

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financial crises, financial fragility, liquidity bubbles, early warning signals, financial stability, financial regulation

37.

Constructing an Index of Persian Rug Prices

Number of pages: 25 Posted: 26 Apr 2017
Andrew Clare
City, University of London - Bayes Business School
Downloads 215 (252,620)

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persian rugs, hedonic regression, price index

38.

Benchmarking UK Mutual Fund Performance: The Random Portfolio Experiment

Number of pages: 21 Posted: 21 Apr 2015
Andrew Clare, Niall O'Sullivan and Meadhbh Sherman
City, University of London - Bayes Business School, University College Cork and University College Cork
Downloads 203 (266,336)

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mutual fund performance, random portfolios, skill, luck

39.

The Performance of US Bond Mutual Funds

International Review of Financial Analysis, Forthcoming
Number of pages: 28 Posted: 08 Apr 2019
City, University of London - Bayes Business School, University College Cork, University College Cork and Principal Asset Management
Downloads 198 (272,356)
Citation 6

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mutual funds, bond funds, benchmark returns, market timing, persistence.

40.

Family Status and Mutual Fund Performance

Number of pages: 22 Posted: 24 May 2013 Last Revised: 02 May 2014
Andrew Clare, Niall O'Sullivan and Meadhbh Sherman
City, University of London - Bayes Business School, University College Cork and University College Cork
Downloads 180 (296,622)

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Mutual fund family, performance persistence and risk

41.

Optimal Investment for a Retirement Plan with Deferred Annuities

Number of pages: 30 Posted: 06 Nov 2019
Iqbal Owadally, Chul Jang, Chul Jang and Andrew Clare
Cass Business School, City, University of London, Bayes Business School, City, University of LondonHanyang University and City, University of London - Bayes Business School
Downloads 151 (344,727)
Citation 3

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Stochastic Programming, Retirement Planning, Deferred Annuities

42.

By How Much Can a Diversified Approach to Investing Improve the Prospects of Reducing a DB Pension Deficit?

Number of pages: 24 Posted: 06 Mar 2008
Andrew Brigden, Shamik Dhar and Andrew Clare
City University London - The Business School, City University London - The Business School and City, University of London - Bayes Business School
Downloads 147 (352,274)

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Alternative asset classes, defined benefit, pension fund deficit, asset allocation

43.

Measuring Success in Decumulation: The Minimum Acceptable Annual Withdrawal Rate (MAAW)

Number of pages: 43 Posted: 06 May 2022
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 145 (356,228)

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Sequence Risk; Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals

44.

Do UK Retail Investors Buy at the Top and Sell at the Bottom?

Number of pages: 22 Posted: 05 Feb 2016
Andrew Clare and Nick Motson
City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 143 (360,236)
Citation 2

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investor timing, mutual fund performance, fund cash flows

45.

Perfect Withdrawal in a Noisy World: Investing Lessons With and Without Annuities While in Drawdown Between 2000 and 2019

Number of pages: 31 Posted: 08 Feb 2021
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 132 (383,210)
Citation 1

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Sequence Risk, Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals

46.

The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities

Number of pages: 15 Posted: 25 Sep 2015
Alex Moss, Andrew Clare, Steve Thomas and James Seaton
University of Reading - Henley Business School, City, University of London - Bayes Business School, City University London - The Business School and City University London - The Business School
Downloads 117 (419,869)

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REITs, Investment Management, Portfolio Management, Real Estate, Momentum, Trend Following

47.

The Science of Flexible Retirement Choices: Switching Retirement Savings into an Annuity

Number of pages: 27 Posted: 25 Apr 2023
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School
Downloads 102 (463,948)

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Sequence Risk; Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals, Residual Sum

48.

What Do Foreigners Want? Evidence from Targets in Bank Cross-Border M&As

Number of pages: 31 Posted: 06 Nov 2010
Università degli Studi di Roma Tor Vergata - Dipartimento di Economia e Finanza, City, University of London - Bayes Business School and Roma Tre University
Downloads 81 (537,199)
Citation 1

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M&As, Bank, Bank Internationalization

49.

Locking in the Profits or Putting It All on Black? An Empirical Investigation into the Risk-Taking Behaviour of Hedge Fund Managers

Number of pages: 41 Posted: 18 Feb 2009
Andrew Clare and Nick Motson
City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 57 (647,167)
Citation 4

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hedge fund, risk, fees, high-water mark, portfolio choice

50.

What Can We Learn About Monetary Policy Transparency from Financial Market Data?

Bundesbank Series 1 Discussion Paper No. 2001,06
Number of pages: 32 Posted: 08 Jun 2016
Andrew Clare and Roger Courtenay
City, University of London - Bayes Business School and Vizor Investment Management, London
Downloads 35 (787,566)
Citation 2

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51.

How Skilful are US Fixed-Income Fund Managers?

International Review of Financial Analysis, Vol. 74, No. 101673, 2021
Posted: 18 Nov 2021
City, University of London - Bayes Business School, affiliation not provided to SSRN, City University London - The Business School and University College Cork

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Mutual Fund Bond Performance; False Discovery Rates

52.

Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios

Posted: 21 May 2019
City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

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Size portfolios; trend following; international; developing

53.

Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies

Posted: 06 Feb 2010
City University London - The Business School, City, University of London - Bayes Business School, University of Essex - Essex Business School and City University London - The Business School

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bank, securitization, risk taking

54.

Locking in the Profits or Putting it All on Black? An Investigation into the Risk-Taking Behaviour of Hedge Fund Managers

Journal of Alternative Investments, Vol. 12, No. 2, 2009
Posted: 27 Nov 2008 Last Revised: 08 Oct 2009
Andrew Clare and Nick Motson
City, University of London - Bayes Business School and City University London - Bayes Business School

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hedge fund, risk, return, fees, performance, high-water mark, agency conflicts, benchmarking, portfolio choice

55.

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements

Journal of Risk Finance, Vol. 3, No. 2, pp. 22-33, 2002, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

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Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models

56.

A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements

Journal of Banking and Finance, Vol. 14, No. 10, pp. 1557-1574, 2000, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

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Minimum capital risk requirements, internal risk management models, volatility persistence