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Systematic scenario selection: stress testing and the nature of uncertainty

Flood, Mark D.; Korenko, George G. - In: Quantitative Finance 15 (2015) 1, pp. 43-59

We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock dimensions by sampling points of arbitrary severity from a plausible joint probability distribution. The...

Persistent link: https://www.econbiz.de/10011104800

Put-call parity revisited: intradaily tests in the foreign currency options market

El-Mekkaoui, Mazen; Flood, Mark D. - In: Journal of international financial markets, … 8 (1998) 3, pp. 357-376

Persistent link: https://www.econbiz.de/10007124425

Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets

Flood, Mark D.; Huisman, Ronald; Koedijk, Kees G.; … - In: The review of financial studies 12 (1999) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10007344054

The complexity of bank holding companies : a topological approach

Flood, Mark D.; Kenett, Dror Y.; Lumsdaine, Robin L.; … - 2017

Persistent link: https://www.econbiz.de/10011738682

Form PF and the systemic risk of hedge funds : risk-measurement precision for option portfolios

Flood, Mark D.; Monin, Phillip - In: The journal of alternative investments 18 (2015/2016) 4, pp. 125-147

Persistent link: https://www.econbiz.de/10011471235

Big data challenges and opportunities in financial stability monitoring

Flood, Mark D.; Jagadish, H. V.; Raschid, Louiqa - In: Financial stability review : FSR 20 (2016), pp. 129-142

Persistent link: https://www.econbiz.de/10011487922

Measurement challenges in macroprudential policy implementation : a conference

Flood, Mark D.; Haubrich, Joseph Gerard - In: Journal of financial stability 30 (2017), pp. 175-176

Persistent link: https://www.econbiz.de/10011825603

Financial markets and the economy : the Canadian experience

Flood, Mark D.; Draimin, Charles Keating - 1998

Persistent link: https://www.econbiz.de/10000971913

Dividing the pie : asymmetrically informed dealers and market transparency

Flood, Mark D.; Koedijk, Kees; Dijk, Mathijs van; … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001710052

Put-call parity revisited : intradaily tests in the foreign currency options market

El-Mekkaoui, Mazen; Flood, Mark D. - In: Journal of international financial markets, … 8 (1998) 3/4, pp. 357-376

Persistent link: https://www.econbiz.de/10001445760