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Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

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Discussion Papers

Risk Models-at-Risk

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...

January 2014
DP 8
Christophe M. Boucher
Jón Danielsson
Patrick S. Kouontchou
Bertrand B. Maillet

Opinion Pieces

The new market-risk regulations

Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical...

November 2013
Jón Danielsson

Discussion Papers

Capital Structure and Investment Dynamics with Fire Sales

We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...

November 2013
DP 7
Douglas Gale
Piero Gottardi

Discussion Papers

Walrasian Foundations for Equilibria in Segmented Markets

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...

November 2013
DP 6
Rohit Rahi
Jean-Pierre Zigrand

Discussion Papers

When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model

In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...

November 2013
DP 5
Albert N. Shiryaev
Mikhail N. Zhitlukhin
William T Ziemba

Discussion Papers

Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry

One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...

October 2013
DP 4
Andrew Ellul
Chotibhak Jotikasthira
Christian T. Lundblad
Yihui Wang

Opinion Pieces

Solvency II: Three principles to respect

The European legislation on prudential rules for insurance companies (Solvency II) is set for a final decision. It will be of fundamental importance...

October 2013
Jón Danielsson
Ralph S.J. Koijen
Roger Laeven
Enrico Perotti

Discussion Papers

Cyclical Adjustment of Capital Requirements: A Simple Framework

We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...

September 2013
DP 3
Rafael Repullo

Discussion Papers

Market Quality and Contagion in Fragmented Markets

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...

September 2013
DP 2
Rohit Rahi
Jean-Pierre Zigrand

Opinion Pieces

Political challenges of the macroprudential agenda

Central banks frequently lead the macroprudential policy implementation. The hope is that their credibility in conquering inflation might rub off on...

September 2013
Jeffrey M Chwieroth
Jón Danielsson

Discussion Papers

Procyclical Leverage and Value-at-Risk

The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...

September 2013
DP 1
Tobias Adrian
Hyun Song Shin

Books

Global Financial Systems: Stability and Risk

The book uses economic theory, finance, mathematical modelling, risk theory, and policy to posit a comprehensive, coherent and current economic...

August 2013
Jón Danielsson

Opinion Pieces

Iceland’s post-Crisis economy: A myth or a miracle?

Icelandic voters recently ejected its post-Crisis government – a government that successfully avoided economic collapse when the odds were stacked...

May 2013
Jón Danielsson

Opinion Pieces

Capital controls are still ruining Iceland after half a decade

One aspect of the Cypriot crisis resolution is of particular concern. As authorities fear that anyone with money in Cyprus will want to take it out as...

March 2013
Jón Danielsson

Opinion Pieces

The capital controls in Cyprus and the Icelandic experience

Cyprus has imposed temporary capital controls. This column sheds light on how temporary and how damaging they are likely to be, based on Iceland’s...

March 2013
Jón Danielsson

Opinion Pieces

Towards a more procyclical financial system

Is the fact that different banks have different risk models problematic? Contrary to the Basel Committee and the European Banking Authority, this...

March 2013
Jón Danielsson

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News

New event series in honour of Sir Oliver Hart

Job Vacancy - Research Assistant

Keynote speech at 2023 ESRB Annual Conference by Jón Daniels ...

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The Fourth Annual International Capital Markets Conference 2 ...

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The Origins of Commodity Price Fluctuations

Idiosyncratic Volatility and the ICAPM

Pricing Event Risk: Evidence from Concave Implied Volatility ...

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Publications

An Unconventional FX Tail Risk Story

On the use of artificial intelligence in financial regulatio ...

Artificial intelligence and financial stability

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