Items where Division is "Systemic Risk Centre" and Year is 2016

A

Anderson, Ronald W. (2016) The Internationalization of the Renminbi. Special Paper Series (11). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Anderson, Ronald W. (2016) Stress testing and macroprudential regulation: a transatlantic assessment. Centre for Economic Policy Research (Great Britain), London, UK. ISBN 9781907142987

Anderson, Ronald W. (2016) Stress testing and macroprudential regulation: a transatlantic assessment. VoxEU.

Aymanns, Christoph, Caccioli, Fabio, Farmer, J. Doyne and Tan, Vincent W.C. (2016) Taming the Basel leverage cycle. Journal of Financial Stability, 27. pp. 263-277. ISSN 1572-3089

B

Barfuss, Wolfram, Massara, Guido Previde, Di Matteo, T. and Aste, Tomaso (2016) Parsimonious modeling with information filtering networks. Physical Review E, 94 (6). ISSN 2470-0045

C

Caravelli, Francesco, Bardoscia, Marco and Caccioli, Fabio (2016) Emergence of giant strongly connected components in continuum disk-spin percolation. Journal of Statistical Mechanics: Theory and Experiment, 2016 (May). ISSN 1742-5468

Csullag, Balazs, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Macrae, Robert (2016) Why it doesn't make sense to hold bonds. VoxEU.

D

Danielsson, Jon ORCID: 0009-0006-9844-7960, Ergun, Lerby M., Haan, Laurens de and Vries, Casper G. de (2016) Tail index estimation: quantile driven threshold selection. Systemic Risk Centre Discussion Papers (58). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Fouché, Morgane and Macrae, Robert (2016) Cyber risk as systemic risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Can we prove a bank guilty of creating systemic risk? A minority report. Journal of Money, Credit and Banking, 48 (4). 795 - 812. ISSN 0022-2879

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Model risk of risk models. Journal of Financial Stability, 23. pp. 79-91. ISSN 1572-3089

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Macrae, Robert (2016) The fatal flaw in macropru: it ignores political risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert, Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) Why macropru can end up being procyclical. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) On the financial market consequences of Brexit. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Tsanakas, Andreas (2016) Everybody right, everybody wrong: plural rationalities in macroprudential regulation. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2016) Learning from history: volatility and financial crises. Systemic Risk Centre Discussion Papers (57). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Donaldson, Jason and Micheler, Eva ORCID: 0000-0002-7922-2436 (2016) Resaleable debt and systemic risk. Systemic Risk Centre Discussion Papers (53). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

E

Ergun, Lerby M. (2016) Disaster and fortune risk in asset returns. Systemic Risk Centre Discussion Papers (59). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

F

Fusai, Gianluca, Germano, Guido and Marazzina, Daniele (2016) Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251 (1). pp. 124-134. ISSN 0377-2217

G

Gerba, Eddie and Macchiarelli, Corrado (2016) Interaction between monetary policy and bank regulation: theory and European practice. Special Paper Series (10). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Gong, Rui, He, Jieshuang and Page, Frank (2016) Incentive compatible networks and the delegated networking principle. Systemic Risk Centre Discussion Papers (56). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Gong, Rui and Page, Frank (2016) Shadow banks and systemic risks. Systemic Risk Centre Discussion Papers (55). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Gong, Rui and Page, Frank (2016) Systemic risk and the dynamics of temporary financial networks. Systemic Risk Centre Discussion Papers (62). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

M

MacLean, Leonard C., Zhao, Yonggan and Ziemba, William T. (2016) Optimal capital growth with convex shortfall penalties. Quantitative Finance, 16 (1). pp. 101-117. ISSN 1469-7688

Mueller, Philippe, Tahbaz-Salehi, Alireza and Vedolin, Andrea (2016) Exchange rates and monetary policy uncertainty. Systemic Risk Centre Discussion Papers (54). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

N

Nava, Noemi, Di Matteo, Tiziana and Aste, Tomaso (2016) Time-dependent scaling patterns in high frequency financial data. European Physical Journal Special Topics, 225 (10). pp. 1997-2016. ISSN 1951-6355

P

Page, Frank (2016) On K-Class discounted stochastic games. Systemic Risk Centre Discussion Papers (61). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Page, Frank (2016) Stationary Markov equilibria for approximable discounted stochastic games. Systemic Risk Centre Discussion Papers (60). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Preis, Tobias, Bardoscia, Marco, Caccioli, Fabio, Perotti, Juan Ignacio, Vivaldo, Gianna and Caldarelli, Guido (2016) Distress propagation in complex networks: the case of non-linear DebtRank. PLOS ONE, 11 (10). e0163825. ISSN 1932-6203

T

Thimann, Christian (2016) Insurance and systemic risk: no easy conclusions. VoxEU.

V

Varga-Haszonits, Istvan, Caccioli, Fabio and Kondor, Imre (2016) Replica approach to mean-variance portfolio optimization. Journal of Statistical Mechanics: Theory and Experiment, 2016 (Dec.). ISSN 1742-5468

Z

Ziemba, William (2016) A response to Professor Paul A. Samuelson's objections to Kelly capital growth investing. Systemic Risk Centre Discussion Papers (52). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.