This review presents a general theory of financial crashes and of stock market instabilities
that his co-workers and the author have developed over the past seven years. We start by …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

This paper introduces a new methodology to date systemic financial stress events in a
transparent, objective and reproducible way. The financial cycle is captured by a monthly …

This paper studies the relationship between macroeconomic fluctuations and corporate
defaults while conditioning on industry affiliation and an extensive set of firm-specific factors …

Background: Impact of large recessions on GDP growth is well documented and their effect
on Gross Domestic Product (GDP) growth is definitive. Health care expenditure is growing …

In this paper we empirically study interactions between real activity and the financial stance.
Using aggregate data we examine a number of candidate measures of the financial stance …

It is widely argued in the literature on the Great Depression that the prevalence of unit banks
aggravated the problem of financial instability that afflicted the United States. This article …

This paper examines, from a market efficiency perspective, the performance of a simple
dynamic equity indexing strategy based on cointegration. A consistent 'abnormal'return in …

This paper solves rational expectations models in which structural parameters switch across
multiple regimes according to state-dependent (endogenous) transition probabilities …

We perform an extended analysis of the distribution of drawdowns in the two leading
exchange markets (US dollar against the Deutsmark and against the Yen), in the major …