Risk exposures are typically quantified in terms ofa" value at risk"(IiflR) estimate. A UlR
estimate corresponds to a specific critical value of a porifolio's potential one-day profit and loss …

Proponents of a securities transactions tax have suggested that such a tax may reduce
stock return volatility. The argument is that, to the extent that short-term speculative trading …

We measure the effect of bank failures on economic growth using data from 1900 to 1930, a
period without active government stabilization policies and several severe banking crises. …

A simple overlapping generations model is used to characterize the effects of initial margin
requirements on the volatility of risky asset prices. Investors are assumed to exhibit …

This article investigates the relationship between initial margin requirements and stock return
volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an …

This study assesses the state of the policy debate that surrounds the federal regulation of
margin requirements. A review of the literature finds no undisputed evidence that supports the …

The efficacy of the Financial Stability Board's proposed requirement for minimum “total loss
absorbing capacity” (TLAC) at global systemically important banks (G-SIBs) is assessed …

… In this article, Kupiec points out a couple of pitfalls in applying the … (Kupiec argues for the
former.) Another issue is that when debt is … Kupiec discusses these issues and illustrates their …

Although margin requirements would arise naturally in the context of unregulated trading of
clearinghouse-guaranteed derivative contracts, the margin requirements on US exchange-…

The Vasicek single factor model of portfolio credit loss is generalized to include correlated
stochastic exposures and loss rates. The new model can accommodate any distribution and …