Details about Paul H. Kupiec

Access statistics for papers by Paul H. Kupiec.

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Short-id: pku379

Working Papers

2019

1. Policy uncertainty and bank stress testing
   AEI Economics Working Papers, American Enterprise Institute
   See also Journal Article Policy uncertainty and bank stress testing, Journal of Financial Stability, Elsevier (2020) View citations (3) (2020)
2. Policy uncertainty, financial stability, and stress testing
   AEI Economics Working Papers, American Enterprise Institute

2018

3. Inside the black box: The accuracy of alternative stress test models
   AEI Economics Working Papers, American Enterprise Institute
4. On the accuracy of alternative approaches for calibrating bank stress test models
   AEI Economics Working Papers, American Enterprise Institute View citations (10)
   See also Journal Article On the accuracy of alternative approaches for calibrating bank stress test models, Journal of Financial Stability, Elsevier (2018) View citations (7) (2018)

2017

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

2016

6. Fixing prompt corrective action
   AEI Economics Working Papers, American Enterprise Institute
   See also Journal Article Fixing prompt corrective action, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2016) (2016)

2015

7. Capital for concentrated credit portfolios
   AEI Economics Working Papers, American Enterprise Institute
   Also in AEI Economics Working Papers, American Enterprise Institute (2015)
   See also Journal Article Capital for concentrated credit portfolios, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2015) (2015)
8. Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail?
   AEI Economics Working Papers, American Enterprise Institute View citations (2)
9. Portfolio diversification in concentrated bond and loan portfolios
   AEI Economics Working Papers, American Enterprise Institute View citations (1)
10. Testing for systemic risk using stock returns
    AEI Economics Working Papers, American Enterprise Institute View citations (1)
    See also Journal Article Testing for Systemic Risk Using Stock Returns, Journal of Financial Services Research, Springer (2016) View citations (12) (2016)
11. Will TLAC regulations fix the G-SIB too-big-to-fail problem?
    AEI Economics Working Papers, American Enterprise Institute View citations (1)
    See also Journal Article Will TLAC regulations fix the G-SIB too-big-to-fail problem?, Journal of Financial Stability, Elsevier (2016) View citations (9) (2016)

2014

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

2002

13. Calibrating Your Intuition: Capital Allocation for Market and Credit Risk
    IMF Working Papers, International Monetary Fund View citations (5)
14. Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
    IMF Working Papers, International Monetary Fund
15. Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives
    IMF Working Papers, International Monetary Fund

2001

16. The New Basel Capital Accord: The Devil Is in the (Calibration) Details
    IMF Working Papers, International Monetary Fund View citations (2)

1997

17. 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 (4)
    See also Journal Article Deposit insurance, bank incentives, and the design of regulatory policy, Economic Policy Review, Federal Reserve Bank of New York (1998) View citations (7) (1998)
18. Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
    FMG Special Papers, Financial Markets Group
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (9)
    See also Journal Article Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?, Journal of Financial Services Research, Springer (1998) View citations (15) (1998)
19. 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 (23)

1996

20. 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 (12)
    See also Journal Article Regulatory competition and the efficiency of alternative derivative product margining systems, Journal of Futures Markets, John Wiley & Sons, Ltd. (1996) View citations (13) (1996)

1995

21. A pre-commitment approach to capital requirements for market risk
    Proceedings, Federal Reserve Bank of Chicago View citations (15)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1995) View citations (19)
22. 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)
23. 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 (13)
24. 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 (1046)
25. 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

26. 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.)
27. 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 The performance of S&P 500 futures product margins under the SPAN margining system, Journal of Futures Markets, John Wiley & Sons, Ltd. (1994) View citations (6) (1994)

1992

28. 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.)
29. 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

30. Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities
    OECD Economics Department Working Papers, OECD Publishing View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990)
31. 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 (7)
    See also Journal Article Prudential margin policy in a futures‐style settlement system, Journal of Futures Markets, John Wiley & Sons, Ltd. (1993) View citations (18) (1993)
32. 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 (12)

1990

33. 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)
34. 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 (2)
35. 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 Animal Spirits, Margin Requirements, and Stock Price Volatility, Journal of Finance, American Finance Association (1991) View citations (20) (1991)
36. 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 Futures margins and stock price volatility: Is there any link?, Journal of Futures Markets, John Wiley & Sons, Ltd. (1993) View citations (4) (1993)

1989

37. 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)
38. 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 (21)
39. Microeconomic sources of beta risk instability
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2024

1. Systemic risk and unrealized losses in the banking system
   Journal of Applied Corporate Finance, 2024, 36, (1), 45-54

2023

2. American Enterprise Institute roundtable on addressing the underlying causes of the banking crisis of 2023: Panelists: Charles Calomiris, Henry Kaufman Professor of Financial Institutions, Columbia University; Andrew Levin, Professor, Dartmouth College; Bill Nelson, Chief Economist, Bank Policy Institute; Alex J. Pollock, Senior Fellow, Mises Institute; Moderator: Paul Kupiec, Senior Fellow, American Enterprise Institute
   Journal of Applied Corporate Finance, 2023, 35, (3), 18-36
3. Depositor discipline and the banking panic of 2023
   Journal of Applied Corporate Finance, 2023, 35, (3), 7-17
   Also in Journal of Applied Corporate Finance, 2023, 35, (3), 4-6 (2023)

2022

4. Should the US Issue a Central Bank Digital Currency?
   Policy Hub, 2022, 2022, (6)

2021

5. American Enterprise Institute Roundtable: Government Policies Reshape the Banking System
   Journal of Applied Corporate Finance, 2021, 33, (4), 52-69
6. Did prudent risk management practices or weak customer demand reduce PPP lending by the largest banks?
   Journal of Risk Management in Financial Institutions, 2021, 14, (2), 148-160 View citations (1)

2020

7. Policy uncertainty and bank stress testing
   Journal of Financial Stability, 2020, 51, (C) View citations (3)
   See also Working Paper Policy uncertainty and bank stress testing, AEI Economics Working Papers (2019) (2019)

2019

8. Stress testing and the representative bank model
   Journal of Risk Management in Financial Institutions, 2019, 12, (4), 342-373

2018

9. A regulatory stress test to-do list: Transparency and accuracy
   Journal of Risk Management in Financial Institutions, 2018, 11, (2), 132-147
10. On the accuracy of alternative approaches for calibrating bank stress test models
    Journal of Financial Stability, 2018, 38, (C), 132-146 View citations (7)
    See also Working Paper On the accuracy of alternative approaches for calibrating bank stress test models, AEI Economics Working Papers (2018) View citations (10) (2018)

2017

11. Does bank supervision impact bank loan growth?
    Journal of Financial Stability, 2017, 28, (C), 29-48 View citations (20)

2016

12. Fixing prompt corrective action
    Journal of Risk Management in Financial Institutions, 2016, 9, (3), 207-223
    See also Working Paper Fixing prompt corrective action, AEI Economics Working Papers (2016) (2016)
13. Testing for Systemic Risk Using Stock Returns
    Journal of Financial Services Research, 2016, 49, (2), 203-227 View citations (12)
    See also Working Paper Testing for systemic risk using stock returns, AEI Economics Working Papers (2015) View citations (1) (2015)
14. Will TLAC regulations fix the G-SIB too-big-to-fail problem?
    Journal of Financial Stability, 2016, 24, (C), 158-169 View citations (9)
    See also Working Paper Will TLAC regulations fix the G-SIB too-big-to-fail problem?, AEI Economics Working Papers (2015) View citations (1) (2015)

2015

15. 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 (4)
16. Capital for concentrated credit portfolios
    Journal of Risk Management in Financial Institutions, 2015, 8, (4), 314-322
    See also Working Paper Capital for concentrated credit portfolios, AEI Economics Working Papers (2015) (2015)

2013

17. Bank failures and the cost of systemic risk: Evidence from 1900 to 1930
    Journal of Financial Intermediation, 2013, 22, (3), 285-307 View citations (32)

2012

18. 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

19. Capital Allocation for Portfolio Credit Risk
    Journal of Financial Services Research, 2007, 32, (1), 103-122 View citations (6)
20. Estimating recovery discount rates: A methodological note
    Journal of Risk Management in Financial Institutions, 2007, 1, (1), 17-24
21. Financial stability and Basel II
    Annals of Finance, 2007, 3, (1), 107-130 View citations (3)

2005

22. 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 (2)

2004

23. 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 (3)

2001

24. Estimating Credit Risk Capital: What's the Use?
    Journal of Risk Finance, 2001, 2, (3), 17-34

1998

25. Deposit insurance, bank incentives, and the design of regulatory policy
    Economic Policy Review, 1998, 4, (Oct), 201-211 View citations (7)
    See also Working Paper Deposit insurance, bank incentives, and the design of regulatory policy, Finance and Economics Discussion Series (1997) View citations (4) (1997)
26. 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 (15)
    See also Working Paper Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?, FMG Special Papers (1997) (1997)

1996

27. Regulatory competition and the efficiency of alternative derivative product margining systems
    Journal of Futures Markets, 1996, 16, (8), 943-968 View citations (13)
    See also Working Paper Regulatory competition and the efficiency of alternative derivative product margining systems, Finance and Economics Discussion Series (1996) View citations (12) (1996)

1995

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

1994

29. 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 (6)
    See also Working Paper The performance of S&P500 futures product margins under the span margining system, Finance and Economics Discussion Series (1993) View citations (3) (1993)

1993

30. Futures margins and stock price volatility: Is there any link?
    Journal of Futures Markets, 1993, 13, (6), 677-691 View citations (4)
    See also Working Paper Futures margins and stock price volatility: is there any link?, Finance and Economics Discussion Series (1990) (1990)
31. Prudential margin policy in a futures‐style settlement system
    Journal of Futures Markets, 1993, 13, (4), 389-408 View citations (18)
    See also Working Paper Prudential margin policy in a futures-style settlement system, Finance and Economics Discussion Series (1991) View citations (7) (1991)

1991

32. Animal Spirits, Margin Requirements, and Stock Price Volatility
    Journal of Finance, 1991, 46, (2), 717-31 View citations (20)
    See also Working Paper Animal spirits, margin requirements, and stock price volatility, Finance and Economics Discussion Series (1990) View citations (2) (1990)

Chapters

2005

1. 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