Report NEP-RMG-2013-06-30This 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:
- Sylvain Benoit & Christophe Hurlin & Christophe Pérignon, 2013. "Implied Risk Exposures," Working Papers, HAL halshs-00836280, HAL.
- Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie, 2013. "Computational Dynamic Market Risk Measures in Discrete Time Setting," Papers, arXiv.org 1306.5705, arXiv.org.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) 269, Sveriges Riksbank (Central Bank of Sweden).
- Elena Di Bernardino & Didier Rullière, 2013. "Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory," Post-Print, HAL hal-00750873, HAL.
- Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper, Federal Reserve Bank of Cleveland 1309, Federal Reserve Bank of Cleveland.
- Didier Rullière & Diana Dorobantu & Areski Cousin, 2013. "An extension of Davis and Lo's contagion model," Post-Print, HAL hal-00374367, HAL.
- Beno\^it Collins & David McDonald & Nadia Saad, 2013. "Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation," Papers, arXiv.org 1306.5510, arXiv.org.
- Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2013. "On Modeling Economic Default Time: A Reduced-Form Model Approach," Papers, arXiv.org 1306.6402, arXiv.org.
- Stefan Tappe & Thorsten Schmidt, 2013. "Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity," Papers, arXiv.org 1306.6267, arXiv.org.
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg 13-07, Center for Research in Economic Analysis, University of Luxembourg.