Jon Danielsson discusses the use of capital ratios and macroprudential regulation and describes the limitations of each policy: How banks can inflate capital ratios, how capital requirements fail to reduce the risk of aggregate shocks and how Basel III regulations burden smaller banks relative...

There is extensive empirical evidence that funds of hedge funds (FoHFs) quickly change their investment bets as a function of the changing market conditions. In this chapter, we first analyze the stability of risk exposure and performance of FoHFs during the period January 2005-June 2011. We...

We empirically test the prediction of Pastor, Stambaugh, and Taylor 2020 that green firms can outperform brown firms when climate change concerns strengthen unexpectedly for S&P 500 companies over the period January 2010 - June 2018. To capture unexpected increases in climate change concerns, we...

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...