Working Paper
Techniques for verifying the accuracy of risk measurement models
Kupiec, Paul H. (1995)
Finance and Economics Discussion Series , Paper 95-24

Working Paper
The performance of S&P500 futures product margins under the span margining system
Kupiec, Paul H. (1993)
Finance and Economics Discussion Series , Paper 93-27

Working Paper
Regulatory competition and the efficiency of alternative derivative product margining systems
Kupiec, Paul H.; White, Patricia A. (1996)
Although margin requirements would arise naturally in the context of unregulated trading of clearinghouse-guaranteed derivative contracts, the margin requirements on U.S. exchange-traded derivative products are subject to government regulatory oversight. At present, two alternative methodologies are used for margining exchange-traded derivative contracts. Customer positions in securities and securities options are margined using a strategy-based approach. Futures, futures-options, and securities-option clearinghouse margins are set using a portfolio margining system. This study evaluates the ...
Finance and Economics Discussion Series , Paper 96-11

Working Paper
The use of bank trading risk models for regulatory capital purposes
Kupiec, Paul H.; O'Brien, James M. (1995)
Finance and Economics Discussion Series , Paper 95-11

Working Paper
Noise traders, excess volatility, and a securities transactions tax
Kupiec, Paul H. (1995)
Finance and Economics Discussion Series , Paper 95-26

Working Paper
Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities
Kupiec, Paul H. (1990)
Finance and Economics Discussion Series , Paper 131

Working Paper
Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform
Kupiec, Paul H. (1991)
Finance and Economics Discussion Series , Paper 165

Working Paper
Noise traders, excess volatility, and securities transaction tax
Kupiec, Paul H. (1991)
Finance and Economics Discussion Series , Paper 166

Working Paper
A pre-commitment approach to capital requirements for market risk
Kupiec, Paul H.; O'Brien, James M. (1995)
Finance and Economics Discussion Series , Paper 95-36

Working Paper
On the efficacy of a portfolio approach to margin setting in a futures- style settlement system
Kupiec, Paul H. (1993)
Finance and Economics Discussion Series , Paper 93-19