Report NEP-RMG-2012-10-27This 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:
- Brice Hakwa & Manfred J\"ager-Ambro\.zewicz & Barbara R\"udiger, 2012. "Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach," Papers, arXiv.org 1210.4713, arXiv.org, revised Nov 2012.
- Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers, Xarxa de ReferÃ¨ncia en Economia Aplicada (XREAP) XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
- Radim Gottwald, 2012. "Value at Risk Model Used to Stock Prices Prediction," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics 2012-30, Mendel University in Brno, Faculty of Business and Economics.
- Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan 12-E-15, Institute for Monetary and Economic Studies, Bank of Japan.
- Cai, J. & Einmahl, J.H.J. & Haan, L.F.M. de & Zhou, C., 2012. "Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme," Discussion Paper, Tilburg University, Center for Economic Research 2012-080, Tilburg University, Center for Economic Research.
- Marek Petrik & Dharmashankar Subramanian, 2012. "An Approximate Solution Method for Large Risk-Averse Markov Decision Processes," Papers, arXiv.org 1210.4901, arXiv.org.
- Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander, 2012. "A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries," Working Papers in Economics, University of Gothenburg, Department of Economics 545, University of Gothenburg, Department of Economics.
- Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers, Department of Economics, Central European University 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
- Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan 12-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
- Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2012. "Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation," Papers, arXiv.org 1210.4973, arXiv.org, revised Jan 2013.
- Victor Aguirregabiria & Robert Clark & Hui Wang, 2012. "Diversification of Geographic Risk in Retail Bank Networks: Evidence from Bank Expansion after the Riegle-Neal Act," Working Papers, University of Toronto, Department of Economics tecipa-465, University of Toronto, Department of Economics.
- André van Stel & Andrew Burke & José Maria Millán & Concepcion Roman, 2013. "Start-Up Size Strategy and Risk Management: Impact on New Venture Performance," Scales Research Reports, EIM Business and Policy Research H201207, EIM Business and Policy Research.
- Gareth W. Peters & Alice X. D. Dong & Robert Kohn, 2012. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving," Papers, arXiv.org 1210.3849, arXiv.org, revised Dec 2012.
- P. Del Moral & G. W. Peters & Ch. Verg\'e, 2012. "An introduction to particle integration methods: with applications to risk and insurance," Papers, arXiv.org 1210.3851, arXiv.org, revised Oct 2012.
- Mohamed Belhaj & Nataliya Klimenko, 2012. "Optimal Preventive Bank Supervision Combining Random Audits and Continuous Intervention," AMSE Working Papers, Aix-Marseille School of Economics, Marseille, France 1201, Aix-Marseille School of Economics, Marseille, France.
- Joseph Y. Halpern & Samantha Leung, 2012. "Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions," Papers, arXiv.org 1210.4853, arXiv.org.
- Jan Willem van den End & Marco Hoeberichts, 2012. "The interaction between the central bank and government in tail risk scenarios," DNB Working Papers, Netherlands Central Bank, Research Department 352, Netherlands Central Bank, Research Department.