Report NEP-RMG-2013-02-16This 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:
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
- Shen, Xuan & Hartarska, Valentina M., 2013. "Risk Management in Agricultural Banks: An Application of Endogenous Switching Model," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida, Southern Agricultural Economics Association 143092, Southern Agricultural Economics Association.
- Cheng-Der Fuh & Huei-Wen Teng & Ren-Her Wang, 2013. "Efficient Importance Sampling for Rare Event Simulation with Applications," Papers 1302.0583, arXiv.org.
- Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
- Silvia Figini & Paolo Giudici, 2013. "Measuring risk with ordinal variables," DEM Working Papers Series 032, University of Pavia, Department of Economics and Management.
- Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers 1302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Elisa Luciano & Giovanna Nicodano, 2012. "Default risk in business groups," Carlo Alberto Notebooks 283, Collegio Carlo Alberto.
- Amosson, Stephen H. & Anderson, David P. & Bevers, Stanley J. & Hogan, Robert J., Jr. & McCorkle, Dean A. & Robinson, John R.C. & Smith, Jackie & Waller, Mark L. & Welch, Mark & Williams, Emmy, 2013. "Have Farmers and Ranchers Lost Confidence in Futures Markets?," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida, Southern Agricultural Economics Association 142998, Southern Agricultural Economics Association.
- MichaÅ‚ BrzeziÅ„ski, 2013. "Relative risk aversion and power-law distribution of macroeconomic disasters," Working Papers 2013-04, Faculty of Economic Sciences, University of Warsaw.
- Silvia Figini & Paolo Giudici, 2013. "Credit risk predictions with Bayesian model averaging," DEM Working Papers Series 034, University of Pavia, Department of Economics and Management.
- Tran, Trang & Coble, Keith H. & Harri, Ardian & Barnett, Barry J. & Riley, John Michael, 2013. "Proposed Farm Bill Impact On The Optimal Hedge Ratios For Crops," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida, Southern Agricultural Economics Association 143050, Southern Agricultural Economics Association.
- Yan Dolinsky & H. Mete Soner, 2013. "Robust Hedging with Proportional Transaction Costs," Papers 1302.0590, arXiv.org, revised Aug 2013.