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1.
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This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We prop[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market d[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (“bank tail risk”) and the link of the bank to the system in financial distress ([...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank ("bank tail risk") and the link of the bank to the system in financial distress ([...]
2019 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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5.
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Regulatory rules may have different impacts on risk-taking by individual banks and on banks’ systemic risk levels. That is why implementing prudential rules and policies [...]
2018 | Book Chapter | Peer-Reviewed Publications - Publications à comité de lecture |
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