Lerby Murat Ergun

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

  • Bank of Canada

  • London School of Economics & Political Science (LSE)

SCHOLARLY PAPERS

7

DOWNLOADS

1,220

TOTAL CITATIONS

21

Scholarly Papers (7)

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1.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 40 Posted: 18 Jan 2016 Last Revised: 20 Apr 2025
Jon Danielsson, Lerby Murat Ergun, Laurens de Haan and Casper G. de Vries
London School of Economics - Systemic Risk Centre, Bank of Canada, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 388 (163,573)
Citation 21

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Hill estimator, Heavy tails, Optimal extreme sample fraction

2.

The Calming of Short-Term Market Fears and Its Long-Term Consequences: The Central Banks’ Dilemma

Number of pages: 37 Posted: 01 Feb 2021 Last Revised: 22 Jan 2023
Mattia Bevilacqua, Jon Danielsson, Lerby Murat Ergun, Andreas Uthemann and Jean-Pierre Zigrand
University of Liverpool - Management School (ULMS), London School of Economics - Systemic Risk Centre, Bank of Canada, Bank of Canada and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 322 (200,610)

Abstract:

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Fed, COVID-19, FX Swap

3.

Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service

Number of pages: 55 Posted: 04 Mar 2020 Last Revised: 22 Feb 2021
Lerby Murat Ergun and Andreas Uthemann
Bank of Canada and Bank of Canada
Downloads 136 (450,958)

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OTC markets, Information Aggregation, Social Learning, Strategic Uncertainty, Consensus Pricing, Benchmarks

4.

The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 05 Jun 2018
Lerby Murat Ergun and Andreas Uthemann
Bank of Canada and London School of Economics & Political Science (LSE)
Downloads 126 (479,265)

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OTC markets, information aggregation, learning, consensus pricing

5.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, Bank of Canada and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 107 (542,543)

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Worst-case analysis, EVT, quantile estimator, risk management

6.

Covariates Hiding in the Tails

Number of pages: 53 Posted: 27 Dec 2022
Milian Bachem, Lerby Murat Ergun and Casper de Vries
Erasmus University Rotterdam (EUR), Bank of Canada and Erasmus University Rotterdam (EUR)
Downloads 85 (631,485)

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Tail index estimation, Heavy tails, Cross-sectional bias

7.

Extreme Downside Risk in the Cross-Section of Asset Returns

Number of pages: 30 Posted: 15 Feb 2023
Lerby Murat Ergun
Bank of Canada
Downloads 56 (790,436)

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C14, G12, G11