Kevin James

Chief Economist’s Department, Policy, Risk, and Research Division, Financial Conduct Authority
 

Publications

Discussion Papers
Jan 2019
DP 87
We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions consisting of fully rational banks, issuers, and investors. In an efficient IPO market, an issuer's...
Discussion Papers
Sep 2015
DP 47
Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really...
Opinion Pieces
Jun 2014
Risk forecasting is central to financial regulations, risk management, and macroprudential policy. This column raises concerns about the reliance on risk forecasting, since risk forecast models have high levels of model risk – especially when...
Discussion Papers
Apr 2014
DP 11
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty....