Report NEP-RMG-2012-11-03This 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:
- Garratt, Rodney & Webber, Lewis & Willison, Matthew, 2012. "Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk," Bank of England working papers 468, Bank of England.
- Santos, André A. P. & Nogales, F. Javier & Ruiz, Esther & Dijk, Dick van, 2012. "Optimal portfolios with minimum capital requirements," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15745, Universidad Carlos III de Madrid.
- Mario Ghossoub, 2012. "Vigilant Measures of Risk and the Demand for Contingent Claims," Discussion Papers 1555, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- V. L. Miguéis & D. F. Benoit & D. Van Den Poel, 2012. "Enhanced Decision Support in Credit Scoring Using Bayesian Binary Quantile Regression," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/803, Ghent University, Faculty of Economics and Business Administration.
- Mardi Dungey & Mattéo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Working Papers ECARES 2013/130530, ULB -- Universite Libre de Bruxelles.
- Boukhobza, Ali & Maetz, Jerome, 2012. "CVA, Wrong Way Risk, Hedging and Bermudan Swaption," MPRA Paper 42144, University Library of Munich, Germany.
- Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
- Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
- Jason Abrevaya & Yu-Chin Hsu & Robert P. Lieli, 2012. "Estimating Conditional Average Treatment Effects," CEU Working Papers 2012_16, Department of Economics, Central European University, revised 20 Jul 2012.
- Carlos León & Andrés Murcia, 2012. "Systemic Importance Index for financial institutions: A Principal Component Analysis approach," Borradores de Economia 741, Banco de la Republica de Colombia.
- Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & Dijk, D.J.C. van, 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," Research Paper ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer, 2012. "Stability analysis of financial contagion due to overlapping portfolios," Papers 1210.5987, arXiv.org.
- Matkovskyy, Roman, 2012. "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper 42173, University Library of Munich, Germany.
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Deparment of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
- Albert, Jose Ramon G. & Ng, Thiam Hee, 2012. "Assessing the Resilience of ASEAN Banking Systems: the Case of the Philippines," Discussion Papers DP 2012-23, Philippine Institute for Development Studies.