Library – By Category

 

Regulatory issues

Adrian, T. and H. S. Shin, 2009, “The shadow banking system: implications for financial regulation,” Financial Stability Review, 19, 1-10. (Available Here)

Bank of England, B., 2009, “The Role of Macroprudential Policy,” Discussion paper, Bank of England. (Available Here)

Basel Committee on Banking Supervision, 2010, “Countercyclical capital buffer proposal,” Consultative document, Bank for International Settlements. (Available Here)

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements. (Available Here)

Benston, G. J., and G. G. Kaufman, 1997, “FDICIA After Five Years,” The Journal of Economic Perspectives, 11(3), 139–158. (Available Here)

Bignon, V., M. Flandreau, and S. Ugolini, 2012, “Bagehot for beginners: The making of lending of last resort operations in the mid-19th century,” The Economic History Review, 65(2), 580–608. (Available Here)

Boot, A., and A. Thakor, 1993, “Self-Interested Bank Regulation,” American Economic Review, 83(2), 206–212. (Available Here)

Bordo, M., 1990, “The Lender of Last Resort: Alternative Views and Historical Experience,” Federal Reserve Bank of Richmond Economic Review, 1990, 18–29. (Available Here)

Borio, C., 2009, “The macroprudential approach to regulation and supervision,” working paper, VoxEU.org, 14 April 2009. (Available Here)

—–, 2010, “Implementing a macroprudential framework: blending boldness and realism,” working paper, Bank for International Settlements, Keynote address for the BIS-HKMA research conference, Honk Kong SAR, 5-6 July 2010. (Available Here)

Borio, C., and M. Drehmann, 2009, “Towards an operational framework for financial stability: “Fuzzy” measurement and its consequences,” BIS Working Papers 284, Bank for International Settlements. (Available Here)

Breuer, T., M. Janda?cka, K. Rheinberger, and M. Summer, 2009, “How to Find Plausible, Severe and Useful Stress Scenarios,” International Journal of Central Banking, 5(3), 205–224, Bank for International Settlements. (Available Here)

Brown, C. O., and I. S. Din, 2011, “Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak,” Review of Financial Studies, 24(4), 1378–1405.(Available Here)

Brunnermeier, M. K., A. Crockett, C. A. Goodhart, A. D. Persaud, and H. S. Shin, 2009, “The Fundamental Principles of Financial Regulation,” Geneva Reports on the World Economy 11, International Center for Monetary and Banking Studies. (Available Here)

King, M. R., and P. Maier, 2009, “Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,” Journal of Financial Stability, 5(3), 283–297.(Available Here)

McCulley, P., 2010, “After the Crisis: Planning a New Financial Structure,” Global cen- tral bank focus, PIMCO, Based on Comments Before the 19th Annual Hyman Minsky Conference on the State of the U.S. and World Economies, April 15, 2010. (Available Here)

Merton, R., and Z. Bodie, 1993, “Deposit Insurance Reform: A Functional Approach,” Carnegie-Rochester Conference Series on Public Policy, 38, 1–34. (Available Here)

Peltzman, S., 1975, “The Effects of Automobile Safety Regulation,” Journal of Political Economy, 83, 677–725. (Available Here)

Ricks, M., 2010, “Shadow Banking and Financial Regulation,” Columbia law and economics working paper no. 370, Harvard Law School. (Available Here)

Rochet, J.-C., and X. Vives, 2004, “Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All?,” Journal of the European Economic Association, 2(6), 1116–1147. (Available Here)

Caruana, J., 2010a, “Financial Stability: Ten Questions and about Seven Answers,” in Reserve Bank of Australia 50th Anniversary Symposium. (Available Here)

—–, 2010b, “Macroprudential policy: could it have been different this time?,” working paper, Bank for International Settlements, Peoples Bank of China seminar on macropru- dential policy in cooperation with the International Monetary Fund: Shanghai, Monday 18 October 2010. (Available Here)

Clement, P., 2010, “The term”macroprudential”: origins and evolution,” BIS Quarterly Review, 2010, 59–67. (Available Here)

Financial Stability Board, 2009, “Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations,” Report to g20 finance ministers and governors, Financial Stability Board. (Available Here)

Financial Stability Board, 2011, “Shadow Banking: Scoping the Issues, A Background Note of the Financial Stability Board,” working paper, Financial Stability Board. (Available Here)

Financial Stability Board and International Monetary Fund, 2010, “The Financial Crisis and Information Gaps Progress Report Action Plans and Timetables,” working paper, FSB.(Available Here)

Flood, M., 1992, “The Great Deposit Insurance Debate,” Federal Reserve Bank of St. Louis Review, 74(4), 51–77. (Available Here)

Gorton, G., and A. Metrick, 2010, “Regulating the Shadow Banking System,” Brookings Papers on Economic Activity, 2010, 261–312. (Available Here)

Demirguc-Kunt, A., E. Kane, and L. Laeven, 2008, “Determinants of Deposit-Insurance Adoption and Design,” Journal of Financial Intermediation, 17(3), 407–438. (Available Here)

Hanson, S. G., A. K. Kashyap, and J. C. Stein, 2011, “A Macroprudential Approach to Financial Regulation,” Journal of Economic Perspectives, 25(1), 3–28. (Available Here)

Hirtle, B., T. Schuermann, and K. Stiroh, 2009, “Macroprudential Supervision of Financial Institutions: Lessons from the SCAP,” Staff Report No. 409, Federal Reserve Bank of New York. (Available Here)

Hirtle, B., T. Schuermann, and K. Stiroh, 2009, “Macroprudential Supervision of Financial Institutions: Lessons from the SCAP,” Staff Report No. 409, Federal Reserve Bank of New York. (Available Here)

King, M. R., and P. Maier, 2009, “Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,” Journal of Financial Stability, 5(3), 283–297.(Available Here)

Data Issues

Abbe, E., A. Khandani, and A. W. Lo, 2011 “Privacy Preserving Methods for Sharing Financial Risk Exposures,” working paper, MIT Laboratory for Financial Engineering. (Available Here)

Bottega, J. A., and L. F. Powell, 2010, “Creating a Linchpin for Financial Data: The Need for a Legal Entity Identifier,” working paper, Board of Governors of the Federal Reserve.(Available Here)

Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787. (Available Here)

Koenker, R., and K. Hallock, 2001, “Quantile regression,” Journal of Economic Perspectives, 15, 143–156. (Available Here)

Office of Financial Research, 2010, “Statement on Legal Entity Identification for Finan- cial Contracts,” Federal Register, (229), 30 November 2010,, 75(229), 74146–74148, 30 November 2010. (Available Here)

—–, 2011, “Office of Financial Research Issues Statement on Progress to Date and Next Steps Forward in the Global Initiative to Establish a Legal Entity Identifier (LEI),,” Press release, OFR, 12 August 2011. (Available Here)

Stein, R. M., 2013. “Aligning models and data for systemic risk analysis,” in The Handbook of Systemic Risk. Oxford

Macro-economic analysis and Systemic Risk

Acharya, V., L. Pedersen, T. Philippon, and M. Richardson, 2010, “Measuring Systemic Risk,” working paper, New York University. (Available Here)

Adalid, R. and C. Detken, 2007, “Liquidity Shocks and Asset Price Boom/Bust Cycles,” ECB Working Paper 732, European Central Bank. (Available Here)

Adrian, T. and M. Brunnermeier, 2011, “CoVar,” Staff Report 348, Federal Reserve Bank of New York. (Available Here)

Adrian, T. and H. S. Shin, 2010, “Liquidity and leverage,” Journal of Financial Intermediation, 19(3), 418-437. (Available Here)

Aikman, D., P. Alessandri, B. Eklund, P. Gai, S. Kapadia, E. Martin, N. Mora, G. Sterne, and M. Willison, 2010, “Funding Liquidity Risk in a Quantitative Model of Systemic Stability,” in Financial Stability, Monetary Policy, and Central Banking, ed. by R. A. Alfaro. Central Bank of Chile, 12th Annual Conference of the Central Bank of Chile, November 6-7, 2008.(Available Here)

Alessi, L., and C. Detken, 2009, “Real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity,” ECB Working Paper 1039, European Central Bank. (Available Here)

Alfaro, R., and M. Drehmann, 2009, “Macro stress tests and crises: what can we learn?,” BIS Quarterly Review, pp. 29–41. (Available Here)

Allen, F., and D. Gale, 2000, “Financial Contagion,” Journal of Political Economy, 108(1), 1–33. (Available Here)

Ang, A., and G. Bekaert, 2002, “International asset allocation with regime shifts,” Review of Financial Studies, 15(4), 1137–1187. (Available Here)

Basurto, M., and P. Padilla, 2006, “Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments,” IMF Working Paper WP/06/283, IMF. (Available Here)

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2012, “Econometric measures of systemic risk in the finance and insurance sectors,” Journal of Financial Economics, 104(3), 535–559. (Available Here)

Borio, C., and M. Drehmann, 2009a, “Assessing the risk of banking crises – revisited,” BIS Quarterly Review, 2009(2), 29–46. (Available Here) Borio, C., and P. Lowe, 2004, “Securing sustainable price stability: should credit come back from the wilderness?,” BIS Working Paper 157, Bank for International Settlements. (Available Here)

Caballero, R. J., 2009, “The ’Other’ Imbalance and the Financial Crisis,” MIT Department of Economics Working Paper No. 09-32, Massachusetts Institute of Technology.(Available Here)

Caruana, J., 2010a, “Financial Stability: Ten Questions and about Seven Answers,” in Reserve Bank of Australia 50th Anniversary Symposium. (Available Here)

—–, 2010b, “Macroprudential policy: could it have been different this time?,” working paper, Bank for International Settlements, Peoples Bank of China seminar on macropru- dential policy in cooperation with the International Monetary Fund: Shanghai, Monday 18 October 2010. (Available Here)

Chan, N., M. Getmansky, S. M. Haas, and A. W. Lo, 2006a, “Do Hedge Funds Increase Systemic Risk?,” Federal Reserve Bank of Atlanta Economic Review, 91(4), 49–80.(Available Here)

—–, 2006b, “Systemic risk and hedge funds,” in The Risks of Financial Institutions, ed. by M. Carey, and R. Stulz. University of Chicago Press, Chicago, IL, pp. 235–330.(Available Here)

Clement, P., 2010, “The term”macroprudential”: origins and evolution,” BIS Quarterly Review, 2010, 59–67. (Available Here)

De Bandt, O., and P. Hartmann, 2000, “Systemic Risk: A Survey,” Working Paper 35, European Central Bank. (Available Here)

Demirguc-Kunt, A., E. Kane, and L. Laeven, 2008, “Determinants of Deposit-Insurance Adoption and Design,” Journal of Financial Intermediation, 17(3), 407–438. (Available Here)

Duffie, Darrel, 2011, “Systemic Risk Exposures A 10-by-10-by-10 Approach,” working paper, Stan- ford University. (Available Here)

Fielding, E., A. W. Lo, and J. H. Yang, 2011, “The National Transportation Safety Board: A Model for Systemic Risk Management,” Journal of Investment Management, 9, 18–50.(Available Here)

Financial Stability Board, 2009, “Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations,” Report to g20 finance ministers and governors, Financial Stability Board. (Available Here)

Financial Stability Board, 2011, “Shadow Banking: Scoping the Issues, A Background Note of the Financial Stability Board,” working paper, Financial Stability Board. (Available Here)

Financial Stability Board and International Monetary Fund, 2010, “The Financial Crisis and Information Gaps Progress Report Action Plans and Timetables,” working paper, FSB.(Available Here)

Flood, M., 1992, “The Great Deposit Insurance Debate,” Federal Reserve Bank of St. Louis Review, 74(4), 51–77. (Available Here)

Gorton, G., and A. Metrick, 2010, “Regulating the Shadow Banking System,” Brookings Papers on Economic Activity, 2010, 261–312. (Available Here)

Hanson, S. G., A. K. Kashyap, and J. C. Stein, 2011, “A Macroprudential Approach to Financial Regulation,” Journal of Economic Perspectives, 25(1), 3–28. (Available Here)

Hirtle, B., T. Schuermann, and K. Stiroh, 2009, “Macroprudential Supervision of Financial Institutions: Lessons from the SCAP,” Staff Report No. 409, Federal Reserve Bank of New York. (Available Here)

Freixas, X., B. M. Parigi, and J.-C. Rochet, 2000, “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank,” Journal of Money, Credit and Banking, 32(3), 611–638, What Should Central Banks Do? A conference sponsored by the Federal Reserve Bank of Cleveland, Oct. 27-29, 1999. (Available Here)

Geanakoplos, J., 2010, “Solving the Present Crisis and Managing the Leverage Cycle,” Federal Reserve Bank of New York Economic Policy Review, 16(1), 101–131. (Available Here)

Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010. (Available Here)

Huang, X., H. Zhou, and H. Zhu, 2009a, “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis,” Federal Reserve Board Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve. (Available Here)

—–, 2009b, “A framework for assessing the systemic risk of major financial institutions,” working paper, University of Oklahoma. (Available Here)

Huizinga, H., and L. Laeven, 2010, “Bank Valuation and Regulatory Forbearance During a Financial Crisis,” working paper, Centre for Economic Policy Research (CEPR). Hull, J., 2000, Options, Futures, and Other Derivatives. Prentice-Hall, Upper Saddle River, NJ. (Available Here)

International Monetary Fund, 2009a, “Assessing the Systemic Implications of Financial Linkages,” Global Financial Stability Review, Apr09, 73–110. (Available Here)

—–, 2009b, “Global Financial Stability Report: Responding to the Financial Crisis and Measuring Systemic Risks,” working paper, IMF. (Available Here)

—–, 2011, “Global Financial Stability Report: Grappling with Crisis Legacies,” working paper, IMF. (Available Here)

Kaminsky, G., S. Lizondo, and C. Reinhart, 1998, “Leading indicators of currency crisis,” IMF Staff Paper, 1. (Available Here)

Kapadia, S., M. Drehmann, J. Elliott, and G. Sterne, 2009, “Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks,” working paper, Bank of England. (Available Here)

Khandani, A. E., A. W. Lo, and R. C. Merton, 2009, “Systemic Risk and the Refinancing Ratchet Effect,” MIT Sloan School Working Paper 4750-09, MIT. (Available Here)

Kocherlakota, N., 2010, “Modern Macroeconomic Models as Tools for Economic Policy,” The Region, (May), 5–21. (Available Here)

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series. (Available Here)

Lucas, R. E., 1976, “Econometric Policy Evaluation: A Critique,” in The Phillips Curve and Labor Markets: Carnegie-Rochester Conference Series on Public Policy 1, ed. by K. Brunner, and A. Meltzer. Elsevier, New York, pp. 19–46. (Available Here)

Mishkin, F. S., 2007, “Systemic Risk and the International Lender of Last Resort,” working paper, Board of Governors of the Federal Reserve, Speech delivered at the Tenth Annual International Banking Conference, Federal Reserve Bank of Chicago, September 28, 2007. (Available Here)

Moussa, A., 2011, “Contagion and Systemic Risk in Financial Networks,” Ph.D. thesis, Columbia University. (Available Here)

Nier, E., J. Yang, T. Yorulmazer, and A. Alentorn, 2008, “Network models and financial stability,” Working Paper 346, Bank of England. (Available Here)

Nijskens, R., and W. Wagner, 2011, “Credit Risk Transfer Activities and Systemic Risk: How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time,” Journal of Banking & Finance. (Available Here)

Reyngold, A., K. Shnyra. and R. M. Stein. 2013. “Aggregate and firm-level measures of systemic risk from a structural model of default”.MIT LFE Working Paper LFE-0501-13. (Available Here)

Rosengren, E. S., 2010, “Asset Bubbles and Systemic Risk,” working paper, Federal Reserve Bank of Boston, Speech delivered at the Global Interdependence Center’s Conference on “Financial Interdependence in the World’s Post-Crisis Capital Markets”, Philadelphia, March 3, 2010. (Available Here)

Valukas, A., 2010, “Report of Anton R. Valukas, Examiner: Volume 3 Of 9, Section III.A.4: Repo 105,” working paper, United States Bankruptcy Court Southern District Of New York, In Re Lehman Brothers Holdings Inc., et al., Debtors. Chapter 11 Case No. 08-13555. (Available Here)

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements. (Available Here)

King, M. R., and P. Maier, 2009, “Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,” Journal of Financial Stability, 5(3), 283–297.(Available Here)

Models and Estimation

Billio, M., and S. Di Sanzo, 2006, “Granger-causality in Markov switching models,” Dept. of Economics Research Paper Series 20WP, University Ca’ Foscari of Venice. (Available Here)

Bollerslev, T., 1986, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31(3), 307–327. (Available Here)

Engle, R., 2002, “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models,” Journal of Business and Economic Statistics, 20, 339–350. (Available Here)

Farmer, J. D., and D. Foley, 2009, “The economy needs agent-based modelling,” Nature, 460, 685–686. (Available Here)

Freund, Y., and R. Shapire, 1996, “Experiments with a new boosting algorithm,” Proceedings of the Thirteenth International Conference on Machine Learning, pp. 148–156.(Available Here)

Kullback, S., and R. Leibler, 1951, “On information and sufficiency,” The Annals of Mathematical Statistics, 22, 449–470. (Available Here)

Ljung, G., and G. Box, 1978, “On a measure of lack of fit in time series models,” Biometrika, 65, 297–303. (Available Here)

Lo, A. W., and C. MacKinlay, 1988, “Stock market prices do not follow random walks: Evidence from a simple specification test,” Review of Financial Studies, 1, 41–66. (Available Here)

Merton, P., 1937, “On the generalised distance in statistics,” Proceedings of the National Institute of Sciences in India, 2(1), 49–55. (Available Here)

Reyngold, A., K. Shnyra. and R. M. Stein. 2013. “Aggregate and firm-level measures of systemic risk from a structural model of default”.MIT LFE Working Paper LFE-0501-13. (Available Here)

Sapra, H., 2008, “Do accounting measurement regimes matter? A discussion of mark-to-market accounting and liquidity pricing,” Journal of Accounting and Economics, 45(2-3), 379–387. (Available Here)

Schwarz, G., 1978, “Estimating the dimension of a model,” Annals of Statistics, 6(2), 461–464. (Available Here)

Segoviano, M., 2006, “The consistent information multivariate density optimizing methodology,” Financial Markets Group Discussion Paper 557, London School of Economics.(Available Here)

Svennson, L., 1994, “Estimating and interpreting forward interest rates: Sweden 1992–1994,” NBER Working Paper 4871, National Bureau of Economic Research. (Available Here)

Tarashev, N., and H. Zhu, 2008, “Specification and calibration errors in measure of portfolio credit risk: The case of the ASRF model,” Interational Journal of Central Banking, 4, 129–174. (Available Here)

Upper, C., 2007, “Using counterfactual simulations to assess the danger of contagion in interbank markets,” BIS Working Paper 234, Bank for International Settlements.(Available Here)

Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010. (Available Here)

Stein, R. M., 2013. “Aligning models and data for systemic risk analysis,” in The Handbook of Systemic Risk. Oxford.

Stein, R. M. 2013.  “The role of stress testing in credit risk management.” Journal of Investment Management. 10. 4. (Available Here)

Stein, R. M. 2013.  “The role of stress testing in credit risk management.” Journal of Investment Management. 10. 4. (Available Here)

Kocherlakota, N., 2010, “Modern Macroeconomic Models as Tools for Economic Policy,” The Region, (May), 5–21. (Available Here)

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series. (Available Here)

Lucas, R. E., 1976, “Econometric Policy Evaluation: A Critique,” in The Phillips Curve and Labor Markets: Carnegie-Rochester Conference Series on Public Policy 1, ed. by K. Brunner, and A. Meltzer. Elsevier, New York, pp. 19–46. (Available Here)

Nier, E., J. Yang, T. Yorulmazer, and A. Alentorn, 2008, “Network models and financial stability,” Working Paper 346, Bank of England. (Available Here)

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements. (Available Here)

Stress Testing

Breuer, T., M. Janda?cka, K. Rheinberger, and M. Summer, 2009, “How to Find Plausible, Severe and Useful Stress Scenarios,” International Journal of Central Banking, 5(3), 205–224, Bank for International Settlements. (Available Here)

Alfaro, R., and M. Drehmann, 2009, “Macro stress tests and crises: what can we learn?,” BIS Quarterly Review, pp. 29–41. (Available Here)

Basurto, M., and P. Padilla, 2006, “Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments,” IMF Working Paper WP/06/283, IMF. (Available Here)

Survey articles

Bouchaud, J., J. D. Farmer, and F. Lillo, 2009, “How Markets Slowly Digest Changes in Supply and Demand,” in Handbook of Financial Markets: Dynamics and Evolution, ed. by H. Thorsten, and K. chenk Hoppe. Elsevier, New York. (Available Here)

Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of consolidation on financial risk,” working paper, International Monetary Fund. (Available Here)

Reinhart, C. M., and K. Rogoff, 2008, “This Time is Different: A Panoramic View of Eight Centuries of Financial Crises,” NBER Working Paper 13882, NBER. (Available Here)

Stein, R. M., 2013. “Aligning models and data for systemic risk analysis,” in The Handbook of Systemic Risk. Oxford University Press. pp. 37-65. (Available Here)

De Bandt, O., and P. Hartmann, 2000, “Systemic Risk: A Survey,” Working Paper 35, European Central Bank. (Available Here)

Liquidity

Amihud, Y., 2002, “Illiquidity and stock returns: Cross-section and time-series effects,” Journal of Financial Markets, 5, 31–56. (Available Here)

Aragon, G., and P. Strahan, 2012, “Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy,” Journal of Financial Economics, 103(3), 570–587. (Available Here)

Boyson, N. M., C. W. Stahel, and R. M. Stulz, 2010, “Hedge Fund Contagion and Liquidity Shocks,” Journal of Finance, 65(5), 1789–1816. (Available Here)

Getmansky, M., A.W. Lo, and I. Makarov, 2004, “An econometric model of serial correlation and illiquidity in hedge fund returns,” Journal of Financial Economics, 74(3), 529–609.(Available Here)

Hu, X., J. Pan, and J. Wang, 2010, “Noise as Information for Illiquidity,” working paper, Massachusetts Institute of Technology. (Available Here)

Khandani, A. E., and A. W. Lo, 2007, “What happened to the quants in August 2007?,” Journal of Investment Management, 5(4), 5–54. (Available Here)

—–, 2011, “What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data,” Journal of Financial Markets, 14(1), 1–46. (Available Here)

Lee, S., 2010, “Measuring systemic funding liquidity risk in the interbank foreign currency ending market,” Working Paper 418, Bank of Korea Institute for Monetary and Economic Research. (Available Here)

Longstaff, F., 2004, “The flight-to-liquidity premium in U.S. Treasury bond prices,” Journal of Business, 77, 511–525. (Available Here)

Pastor, L., and R. Stambaugh, 2003, “Liquidity risk and expected stock returns,” Journal of Political Economy, 111, 642–685. (Available Here)

Brunnermeier, M., and L. Pedersen, 2009, “Market liquidity and funding liquidity,” Review of Financial Studies, 22(6), 2201–2238. (Available Here)

Adalid, R. and C. Detken, 2007, “Liquidity Shocks and Asset Price Boom/Bust Cycles,” ECB Working Paper 732, European Central Bank. (Available Here)

Adrian, T. and M. Brunnermeier, 2011, “CoVar,” Staff Report 348, Federal Reserve Bank of New York. (Available Here)

Aikman, D., P. Alessandri, B. Eklund, P. Gai, S. Kapadia, E. Martin, N. Mora, G. Sterne, and M. Willison, 2010, “Funding Liquidity Risk in a Quantitative Model of Systemic Stability,” in Financial Stability, Monetary Policy, and Central Banking, ed. by R. A. Alfaro. Central Bank of Chile, 12th Annual Conference of the Central Bank of Chile, November 6-7, 2008.(Available Here)

Freixas, X., B. M. Parigi, and J.-C. Rochet, 2000, “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank,” Journal of Money, Credit and Banking, 32(3), 611–638, What Should Central Banks Do? A conference sponsored by the Federal Reserve Bank of Cleveland, Oct. 27-29, 1999. (Available Here)

Kapadia, S., M. Drehmann, J. Elliott, and G. Sterne, 2009, “Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks,” working paper, Bank of England. (Available Here)

Banks

Boyd, J., and M. Gertler, 1994, “Are Banks Dead? Or Are the Reports Greatly Exagger- ated?,” Federal Reserve Bank of Minneapolis Quarterly Review, 18(3), 2–23. (Available Here)

Feldman, R., and M. Lueck, 2007, “Are Banks Really Dying This Time? An update of Boyd and Gertler.,” The Region, 2007, 6–51. (Available Here)

Fender, I., and P. McGuire, 2010a, “Bank structure, funding risk and the transmission of shocks across countries: concepts and measurement,” BIS Quarterly Review, 2010, 63–79. (Available Here)

Fender, I., and P. McGuire, 2010b, “European banks’ U.S. dollar funding pressures,” BIS Quarterly Review, pp. 57–64. (Available Here)

Loutskina, E., and P. E. Strahan, 2009, “Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations,” Journal of Finance, 64(2), 861–889.(Available Here)

Pozsar, Z., T. Adrian, A. Ashcraft, and H. Boesky, 2010, “Shadow Banking,” Staff Reports 458, Federal Reserve Bank of New York. (Available Here)

Segoviano, M. A., and C. Goodhart, 2009, “Banking stability measures,” Financial Markets Group, Discussion paper 627, London School of Economics and Political Science.(Available Here)

Adrian, T. and H. S. Shin, 2009, “The shadow banking system: implications for financial regulation,” Financial Stability Review, 19, 1-10. (Available Here)

Basel Committee on Banking Supervision, 2010, “Countercyclical capital buffer proposal,” Consultative document, Bank for International Settlements. (Available Here)

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements. (Available Here)

Brown, C. O., and I. S. Din, 2011, “Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak,” Review of Financial Studies, 24(4), 1378–1405.(Available Here)

Boot, A., and A. Thakor, 1993, “Self-Interested Bank Regulation,” American Economic Review, 83(2), 206–212. (Available Here)

Ricks, M., 2010, “Shadow Banking and Financial Regulation,” Columbia law and economics working paper no. 370, Harvard Law School. (Available Here)

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2012, “Econometric measures of systemic risk in the finance and insurance sectors,” Journal of Financial Economics, 104(3), 535–559. (Available Here)

Borio, C., and M. Drehmann, 2009a, “Assessing the risk of banking crises – revisited,” BIS Quarterly Review, 2009(2), 29–46. (Available Here) Borio, C., and P. Lowe, 2004, “Securing sustainable price stability: should credit come back from the wilderness?,” BIS Working Paper 157, Bank for International Settlements. (Available Here)

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Nijskens, R., and W. Wagner, 2011, “Credit Risk Transfer Activities and Systemic Risk: How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time,” Journal of Banking & Finance. (Available Here)

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Options

Black, F., and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy, 81(3), 637–654. (Available Here)

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Risk and Risk Management

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Misc

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