London WC2A 2AE
London School of Economics - Systemic Risk Centre
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Square-root-of-time rule, time-scaling of risk, value-at-risk, systemic risk, risk regulation, jump diffusions
Value-at-Risk, systemic risk, CoVaR, MES, financial stability, Basel III
Stock market volatility, Financial crises predictability, Volatility paradox, Minsky hypothesis, Financial instability, Risk-taking
Value-at-Risk, expected shortfall, finite sample properties, Basel III
Liquidity, Endogenous Risk, Financial Crises
value-at-risk, general equilibrium, financial regulation
General equilibrium; Value-at-risk; Risk regulation
order flow model, financial crisis, institution identity, Turkey
Systemic risk, macroprudential policy, financial stability, risk management
Carry trades, currency crises, efficient method of moments, global games
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: fmii.
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Limit Order Book, liquidity, resilience, GLM, GAMLSS
File name: j-0327.
Worst-case analysis, EVT, quantile estimator, risk management
Hill estimator, Heavy tails, Optimal extreme sample fraction
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