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Report NEP-RMG-2012-09-09
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Item repec:hum:wpaper:sfb649dp2012-053 is not listed on IDEAS anymore
- Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012, "Systemic Risk and the European Banking Sector," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1211.
- Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 44, DOI: 10.5445/IR/1000029307.
- Teruyoshi Kobayashi, 2012, "Diversity among banks may increase systemic risk," Discussion Papers, Graduate School of Economics, Kobe University, number 1213, Aug.
- Martínez-Jaramillo Serafín & Alexandrova-Kabadjova Biliana & Bravo-Benítez Bernardo & Solórzano-Margain Juan Pablo, 2012, "An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk," Working Papers, Banco de México, number 2012-07, Aug.
- Xisong Jin & Francisco Nadal De Simone, 2012, "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers, Central Bank of Luxembourg, number 75, Jul.
- Andreas Haier & Thorsten Pfeiffer, 2012, "Scenarios and their Aggregation in the Regulatory Risk Measurement Environment," Papers, arXiv.org, number 1209.0646, Sep.
- Pascal François & Geneviève Gauthier & Frédéric Godin, 2012, "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche, CIRPEE, number 1234.
- Marco Bee, 2012, "Statistical analysis of the Lognormal-Pareto distribution using Probability Weighted Moments and Maximum Likelihood," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1208.
- Jean-Stéphane Mésonnier & Dalibor Stevanovic, 2012, "Bank Leverage Shocks and the Macroeconomy: a New Look in a Data-Rich Environment," CIRANO Working Papers, CIRANO, number 2012s-23, Sep.
- Claudio J. Tessone & Antonios Garas & Beniamino Guerra & Frank Schweitzer, 2012, "How big is too big? Critical Shocks for Systemic Failure Cascades," Papers, arXiv.org, number 1209.0959, Sep, revised Apr 2013.
- Soramäki, Kimmo & Cook, Samantha, 2012, "Algorithm for identifying systemically important banks in payment systems," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-43.
- Masahiro Kawai & Peter J. Morgan, 2012, "Central Banking for Financial Stability in Asia," ADBI Working Papers, Asian Development Bank Institute, number 377, Aug.
- William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012, "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201215, Sep, revised Sep 2012.
- Erik Schlogl & Yang Chang, 2012, "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 310, Aug.
- Junge, Georg & Kugler, Peter, 2012, "Quantifying the impact of higher capital requirements on the Swiss economy," Working papers, Faculty of Business and Economics - University of Basel, number 2012/13.
- Bargigli, Leonardo & Gallegati, Mauro, 2012, "Finding communities in credit networks," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-41.