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
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

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

2015

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

2014

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

1997

13. 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)
14. 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)
15. 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

16. 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)

1995

17. 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)
18. 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)
19. 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)
20. 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)
21. 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

22. 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.)
23. 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

24. 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.)
25. 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

26. 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)
27. 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)
28. 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

29. 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)
30. 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)
31. 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)
32. 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

33. 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)
34. 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)
35. 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 View citations (18)

2012

2. 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

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

2005

5. 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

6. 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

7. 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)
8. 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)

1995

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

1991

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