Details about Paul H. Kupiec
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Short-id: pku379
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Working Papers
2019
- Policy uncertainty and bank stress testing
AEI Economics Working Papers, American Enterprise Institute 
See also Journal Article in Journal of Financial Stability (2020)
- Policy uncertainty, financial stability, and stress testing
AEI Economics Working Papers, American Enterprise Institute
2018
- Inside the black box: The accuracy of alternative stress test models
AEI Economics Working Papers, American Enterprise Institute
- On the accuracy of alternative approaches for calibrating bank stress test models
AEI Economics Working Papers, American Enterprise Institute View citations (2)
See also Journal Article in Journal of Financial Stability (2018)
2017
- The leverage ratio is not the problem
AEI Economics Working Papers, American Enterprise Institute
2016
- Fixing prompt corrective action
AEI Economics Working Papers, American Enterprise Institute
2015
- Capital for concentrated credit portfolios
AEI Economics Working Papers, American Enterprise Institute 
Also in AEI Economics Working Papers, American Enterprise Institute (2015)
- Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail?
AEI Economics Working Papers, American Enterprise Institute
- Portfolio diversification in concentrated bond and loan portfolios
AEI Economics Working Papers, American Enterprise Institute
- Testing for systemic risk using stock returns
AEI Economics Working Papers, American Enterprise Institute View citations (1)
See also Journal Article in Journal of Financial Services Research (2016)
- Will TLAC regulations fix the G-SIB too-big-to-fail problem?
AEI Economics Working Papers, American Enterprise Institute 
See also Journal Article in Journal of Financial Stability (2016)
2014
- Can the 'single point of entry' strategy be used to recapitalize a failing bank?
AEI Economics Working Papers, American Enterprise Institute
2002
- Calibrating Your Intuition; Capital Allocation for Market and Credit Risk
IMF Working Papers, International Monetary Fund View citations (4)
- Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
IMF Working Papers, International Monetary Fund
- Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives
IMF Working Papers, International Monetary Fund
2001
- The New Basel Capital Accord; The Devil Is in the (Calibration) Details
IMF Working Papers, International Monetary Fund View citations (1)
1997
- 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.) View citations (3)
See also Journal Article in Economic Policy Review (1998)
- Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
FMG Special Papers, Financial Markets Group View citations (1)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (5)
See also Journal Article in Journal of Financial Services Research (1998)
- 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.) View citations (21)
1996
- 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.) View citations (13)
See also Journal Article in Journal of Futures Markets (1996)
1995
- 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 (19)
Also in Proceedings, Federal Reserve Bank of Chicago (1995) View citations (15)
- 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)
- 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)
- 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 (767)
- 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
- 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.)
- 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)
See also Journal Article in Journal of Futures Markets (1994)
1992
- 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.)
- 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
- Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities
OECD Economics Department Working Papers, OECD Publishing View citations (1)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990)
- 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)
See also Journal Article in Journal of Futures Markets (1993)
- 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 (9)
1990
- 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)
- 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)
- 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)
- 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)
See also Journal Article in Journal of Futures Markets (1993)
1989
- 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)
- 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)
- Microeconomic sources of beta risk instability
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
Journal Articles
2020
- Policy uncertainty and bank stress testing
Journal of Financial Stability, 2020, 51, (C) 
See also Working Paper (2019)
2018
- On the accuracy of alternative approaches for calibrating bank stress test models
Journal of Financial Stability, 2018, 38, (C), 132-146 View citations (3)
See also Working Paper (2018)
2017
- Does bank supervision impact bank loan growth?
Journal of Financial Stability, 2017, 28, (C), 29-48 View citations (10)
2016
- Testing for Systemic Risk Using Stock Returns
Journal of Financial Services Research, 2016, 49, (2), 203-227 View citations (7)
See also Working Paper (2015)
- Will TLAC regulations fix the G-SIB too-big-to-fail problem?
Journal of Financial Stability, 2016, 24, (C), 158-169 View citations (3)
See also Working Paper (2015)
2015
- Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank?
Journal of Financial Stability, 2015, 20, (C), 184-197 View citations (3)
2013
- Bank failures and the cost of systemic risk: Evidence from 1900 to 1930
Journal of Financial Intermediation, 2013, 22, (3), 285-307 View citations (20)
2012
- Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference
Journal of Financial Services Research, 2012, 42, (1), 1-3
2007
- Capital Allocation for Portfolio Credit Risk
Journal of Financial Services Research, 2007, 32, (1), 103-122 View citations (4)
- Financial stability and Basel II
Annals of Finance, 2007, 3, (1), 107-130 View citations (2)
2005
- 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 View citations (1)
2004
- 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 View citations (2)
1998
- Deposit insurance, bank incentives, and the design of regulatory policy
Economic Policy Review, 1998, 4, (Oct), 201-211 View citations (4)
See also Working Paper (1997)
- Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?
Journal of Financial Services Research, 1998, 13, (3), 231-255 View citations (12)
See also Working Paper (1997)
1996
- Regulatory competition and the efficiency of alternative derivative product margining systems
Journal of Futures Markets, 1996, 16, (8), 943-968 View citations (14)
See also Working Paper (1996)
1995
- A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY
Contemporary Economic Policy, 1995, 13, (1), 101-112 View citations (8)
1994
- The performance of S&P 500 futures product margins under the SPAN margining system
Journal of Futures Markets, 1994, 14, (7), 789-811 View citations (7)
See also Working Paper (1993)
1993
- Futures margins and stock price volatility: Is there any link?
Journal of Futures Markets, 1993, 13, (6), 677-691 View citations (5)
See also Working Paper (1990)
- Prudential margin policy in a futures‐style settlement system
Journal of Futures Markets, 1993, 13, (4), 389-408 View citations (14)
See also Working Paper (1991)
1991
- Animal Spirits, Margin Requirements, and Stock Price Volatility
Journal of Finance, 1991, 46, (2), 717-31 View citations (15)
See also Working Paper (1990)
Chapters
2005
- The IMF–World Bank Financial Sector Assessment Program: A View from the Inside
Chapter 6 in Systemic Financial Crises Resolving Large Bank Insolvencies, 2005, pp 69-81
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