Report NEP-RMG-2013-08-23This 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:
- Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
- Wolfgang Karl Härdle & Dedy Dwi Prastyo, 2013. "Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry," SFB 649 Discussion Papers SFB649DP2013-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2013. "How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment," Working Paper Series 1546, European Central Bank.
- Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
- Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series 1574, European Central Bank.
- Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
- A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway, 2013. "Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs," Papers 1308.2572, arXiv.org.