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Details about Paul H. Kupiec

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Workplace:American Enterprise Institute, (more information at EDIRC)

Access statistics for papers by Paul H. Kupiec.

Last updated 2017-03-31. Update your information in the RePEc Author Service.

Short-id: pku379


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Working Papers

2019

  1. Policy uncertainty and bank stress testing
    AEI Economics Working Papers, American Enterprise Institute Downloads
  2. Policy uncertainty, financial stability, and stress testing
    AEI Economics Working Papers, American Enterprise Institute Downloads

2018

  1. Inside the black box: The accuracy of alternative stress test models
    AEI Economics Working Papers, American Enterprise Institute Downloads
  2. On the accuracy of alternative approaches for calibrating bank stress test models
    AEI Economics Working Papers, American Enterprise Institute Downloads

2017

  1. The leverage ratio is not the problem
    AEI Economics Working Papers, American Enterprise Institute Downloads

2016

  1. Fixing prompt corrective action
    AEI Economics Working Papers, American Enterprise Institute Downloads

2015

  1. Capital for concentrated credit portfolios
    AEI Economics Working Papers, American Enterprise Institute Downloads
    Also in AEI Economics Working Papers, American Enterprise Institute (2015) Downloads
  2. Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail?
    AEI Economics Working Papers, American Enterprise Institute Downloads
  3. Portfolio diversification in concentrated bond and loan portfolios
    AEI Economics Working Papers, American Enterprise Institute Downloads
  4. Testing for systemic risk using stock returns
    AEI Economics Working Papers, American Enterprise Institute Downloads View citations (1)
  5. Will TLAC regulations fix the G-SIB too-big-to-fail problem?
    AEI Economics Working Papers, American Enterprise Institute Downloads

2014

  1. Can the 'single point of entry' strategy be used to recapitalize a failing bank?
    AEI Economics Working Papers, American Enterprise Institute Downloads

1997

  1. Deposit insurance, bank incentives, and the design of regulatory policy
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article in Economic Policy Review (1998)
  2. Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
    FMG Special Papers, Financial Markets Group Downloads View citations (1)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) Downloads View citations (5)

    See also Journal Article in Journal of Financial Services Research (1998)
  3. The pre-commitment approach: using incentives to set market risk capital requirements
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (21)

1996

  1. Regulatory competition and the efficiency of alternative derivative product margining systems
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (13)

1995

  1. A pre-commitment approach to capital requirements for market risk
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (18)
    Also in Proceedings, Federal Reserve Bank of Chicago (1995) View citations (14)
  2. Noise traders, excess volatility, and a securities transactions tax
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1991) View citations (1)
  3. Recent developments in bank capital regulation of market risks
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
  4. Techniques for verifying the accuracy of risk measurement models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (684)
  5. The use of bank trading risk models for regulatory capital purposes
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (10)

1993

  1. On the efficacy of a portfolio approach to margin setting in a futures- style settlement system
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
  2. The performance of S&P500 futures product margins under the span margining system
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

1992

  1. Dividend-price ratios and expected inflation: is there more to the story than the proxy effect?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
  2. On the ramifications of a securities transaction tax for the function and efficiency of capital markets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1991

  1. Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities
    OECD Economics Department Working Papers, OECD Publishing Downloads View citations (1)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990)
  2. Prudential margin policy in a futures-style settlement system
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
  3. Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)

1990

  1. A primer on program trading and stock price volatility: a survey of the issues and the evidence
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
  2. A securities transactions tax: beyond the rhetoric, what can we really say?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
  3. Animal spirits, margin requirements, and stock price volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)

    See also Journal Article in Journal of Finance (1991)
  4. Futures margins and stock price volatility: is there any link?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1989)

1989

  1. A survey of exchange-traded basket instruments
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
  2. Initial margin requirements and stock returns volatility: another look
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (20)
  3. Microeconomic sources of beta risk instability
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2013

  1. Bank failures and the cost of systemic risk: Evidence from 1900 to 1930
    Journal of Financial Intermediation, 2013, 22, (3), 285-307 Downloads View citations (18)

2012

  1. Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference
    Journal of Financial Services Research, 2012, 42, (1), 1-3 Downloads

2007

  1. Capital Allocation for Portfolio Credit Risk
    Journal of Financial Services Research, 2007, 32, (1), 103-122 Downloads View citations (4)
  2. Financial stability and Basel II
    Annals of Finance, 2007, 3, (1), 107-130 Downloads View citations (2)

2005

  1. Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2005, 30, (3), 498-521 Downloads View citations (1)

2004

  1. Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation
    The Journal of Real Estate Finance and Economics, 2004, 28, (2_3), 123-145 Downloads View citations (2)

1998

  1. Deposit insurance, bank incentives, and the design of regulatory policy
    Economic Policy Review, 1998, 4, (Oct), 201-211 Downloads View citations (4)
    See also Working Paper (1997)
  2. Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?
    Journal of Financial Services Research, 1998, 13, (3), 231-255 Downloads View citations (12)
    See also Working Paper (1997)

1995

  1. A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY
    Contemporary Economic Policy, 1995, 13, (1), 101-112 Downloads View citations (8)

1991

  1. Animal Spirits, Margin Requirements, and Stock Price Volatility
    Journal of Finance, 1991, 46, (2), 717-31 Downloads View citations (14)
    See also Working Paper (1990)
 
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