Report NEP-RMG-2013-04-27This 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:
- Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
- Yashkir, Olga & Yashkir, Yuriy, 2013. "Monitoring of Credit Risk through the Cycle: Risk Indicators," MPRA Paper 46402, University Library of Munich, Germany.
- Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles, 2013. "Systemic Risk Contribution of Individual Banks," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 1318, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Working Papers, HAL hal-00814702, HAL.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Schuster, Thomas & Kövener, Felix & Matthes, Jürgen, 2013. "New bank equity capital rules in the European Union: A critical evaluation," IW policy papers, Institut der deutschen Wirtschaft KÃ¶ln (IW) / Cologne Institute for Economic Research 6/2013, Institut der deutschen Wirtschaft Köln (IW) / Cologne Institute for Economic Research.
- Beltratti, Andrea & Paladino, Giovanna, 2013. "Why do banks optimize risk weights? The relevance of the cost of equity capital," MPRA Paper 46410, University Library of Munich, Germany.
- Item repec:hal:wpaper:hal-00813199 is not listed on IDEAS anymore
- Item repec:trn:utwpem:2013/04 is not listed on IDEAS anymore
- Mohamed Mnasri & Georges Dionne & Jean-Pierre Gueyie, 2013. "How Do Firms Hedge Risks? Empirical Evidence from U.S. Oil and Gas Producers," Cahiers de recherche, CIRPEE 1307, CIRPEE.
- Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," Business Economics Working Papers, Universidad Carlos III, Instituto sobre Desarrollo Empresarial "Carmen Vidal Ballester" id-13-01, Universidad Carlos III, Instituto sobre Desarrollo Empresarial "Carmen Vidal Ballester".
- Christian Grisse & Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers, Swiss National Bank 2013-04, Swiss National Bank.
- Nicolas Privault & Timothy Robin Teng, 2013. "Hedging in bond markets by the Clark-Ocone formula," Papers, arXiv.org 1304.6165, arXiv.org.