Report NEP-RMG-2012-09-09This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2012. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012. "Systemic Risk and the European Banking Sector," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli 1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- Teruyoshi Kobayashi, 2012. "Diversity among banks may increase systemic risk," Discussion Papers, Graduate School of Economics, Kobe University 1213, Graduate School of Economics, Kobe University.
- Serafín Martínez-Jaramillo & Biliana Alexandrova-Kabadjova & Bernardo Bravo-Benítez & Juan Pablo Solórzano-Margain, 2012. "An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk," Working Papers, Banco de MÃ©xico 2012-07, Banco de México.
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers, Central Bank of Luxembourg 75, Central Bank of Luxembourg.
- Andreas Haier & Thorsten Pfeiffer, 2012. "Scenarios and their Aggregation in the Regulatory Risk Measurement Environment," Papers, arXiv.org 1209.0646, arXiv.org.
- Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche, CIRPEE 1234, CIRPEE.
- Marco Bee, 2012. "Statistical analysis of the Lognormal-Pareto distribution using Probability Weighted Moments and Maximum Likelihood," Department of Economics Working Papers, Department of Economics, University of Trento, Italia 1208, Department of Economics, University of Trento, Italia.
- Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2012. "Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment," CIRANO Working Papers, CIRANO 2012s-23, CIRANO.
- Claudio J. Tessone & Antonios Garas & Beniamino Guerra & Frank Schweitzer, 2012. "How big is too big? Critical Shocks for Systemic Failure Cascades," Papers, arXiv.org 1209.0959, arXiv.org, revised Apr 2013.
- Soramäki, Kimmo & Cook, Samantha, 2012. "Algorithm for identifying systemically important banks in payment systems," Economics Discussion Papers, Kiel Institute for the World Economy 2012-43, Kiel Institute for the World Economy.
- Kawai, Masahiro & Morgan, Peter J., 2012. "Central Banking for Financial Stability in Asia," ADBI Working Papers, Asian Development Bank Institute 377, Asian Development Bank Institute.
- William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics 201215, University of Kansas, Department of Economics, revised Sep 2012.
- Erik Schlogl & Yang Chang, 2012. "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 310, Quantitative Finance Research Centre, University of Technology, Sydney.
- Georg Junge & Peter Kugler, 2012. "Quantifying the impact of higher capital requirements on the Swiss economy," Working papers, Faculty of Business and Economics - University of Basel 2012/13, Faculty of Business and Economics - University of Basel.
- Bargigli, Leonardo & Gallegati, Mauro, 2012. "Finding communities in credit networks," Economics Discussion Papers, Kiel Institute for the World Economy 2012-41, Kiel Institute for the World Economy.