in The Review of Financial Studies
August 2012; p ublished online April 2012 .
Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory; Banking; Financial Regulation; Regulation and Industrial Policy. 16089 words.
We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout...
in American Journal of Agricultural Economics
October 2016; p ublished online July 2016 .
Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.
The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...
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in Journal of Financial Econometrics
September 2016; p ublished online July 2015 .
Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.
This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...