Report NEP-RMG-2013-06-16This 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:
- Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
- Pavel V. Shevchenko & Gareth W. Peters, 2013. "Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation," Papers 1306.1882, arXiv.org.
- Jiri Witzany, 2013. "Estimating Default and Recovery Rate Correlations," Working Papers IES 2013/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.
- Jiri Witzany, 2013. "A Note on the Vasicek’s Model with the Logistic Distribution," Working Papers IES 2013/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2013.
- Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013. "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers 13-070/III, Tinbergen Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
- Micossi,Stefano, 2013. "A Viable Alternative to Basel III Prudential Capital Rules," CEPS Papers 8075, Centre for European Policy Studies.
- Swamy, Vighneswara, 2012. "Impact of Macroeconomic and Endogenous Factors on Non-Performing Bank Assets," MPRA Paper 47517, University Library of Munich, Germany.
- Asger Lunde & Kasper V. Olesen, 2013. "Modeling and Forecasting the Volatility of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, School of Economics and Management, University of Aarhus.
- Knapp, S. & Heij, C. & Henderson, R. & Kleverlaan, E., 2013. "Ship incident risk in the areas of Tubbataha and Banc dâ€™Arguin: A case for designation as Particular Sensitive Sea Area?," Econometric Institute Report EI2013-16, Erasmus University Rotterdam, Econometric Institute.
- Paolo Manasse & Roberto Savona & Marika Vezzoli, 2013. "Rules of Thumb for Banking Crises in Emerging Markets," Working Papers 481, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
- Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
- Lempert, Robert & Kalra, Nidhi & Peyraud, Suzanne & Mao, Zhimin & Tan, Sinh Bach & Cira, Dean & Lotsch, Alexander, 2013. "Ensuring robust flood risk management in Ho Chi Minh city," Policy Research Working Paper Series 6465, The World Bank.
- Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley, 2013. "Systemic risk and spatiotemporal dynamics of the US housing market," Papers 1306.2831, arXiv.org.
- Paweł Wnuk Lipinski, 2013. "Portfolio selection models based on characteristics of return distributions," Working Papers 2013-14, Faculty of Economic Sciences, University of Warsaw.
- Revoredo-Giha, C. & Zuppiroli, M., 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain ?," 2013 Second Congress, June 6-7, 2013, Parma, Italy 149773, Italian Association of Agricultural and Applied Economics (AIEAA).
- André De Palma, & Federico Perali & Nathalie Picard & Roberto Ricciuti & Alexandrina Scorbureanu, 2013. "Social Crisis Prevention: A Political Alert Index for the Israel-Palestine Conflict," THEMA Working Papers 2013-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.