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Report NEP-RMG-2013-01-07
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:
- Claudio Fontana & Juan Miguel A. Montes, 2012, "A unified approach to pricing and risk management of equity and credit risk," Papers, arXiv.org, number 1212.5395, Dec, revised May 2013.
- Trapp, Monika & Wewel, Claudio, 2012, "Transatlantic systemic risk," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-10.
- MarÃa RodrÃguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012, "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 21/12, Dec.
- Christian Gourieroux & Heam, J.C. & Alain Monfort, 2012, "Bilateral Exposures and Systemic Solvency Risk," Working papers, Banque de France, number 414.
- Dominique Guegan & Bertrand K. Hassani, 2012, "An Autocorrelated Loss Distribution Approach: back to the time series," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12091, Dec.
- Hazama, Makoto & Uesugi, Iichiro, 2012, "Measuring the Systemic Risk in Interfirm Transaction Networks," Working Paper Series, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University, number 20, Dec.
- Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012, "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers, arXiv.org, number 1212.6732, Dec, revised Dec 2013.
- David Murphy, 2012, "Maintaining Confidence," FMG Special Papers, Financial Markets Group, number sp216, Dec.
- Rainer Haidinger & Richard Warnung, 2012, "Risk Measures in a Regime Switching Model Capturing Stylized Facts," Papers, arXiv.org, number 1212.4126, Dec.
- Gurenko, Eugene N. & Itigin, Alexander & Wiechert, Renate, 2012, "Insurance risk transfer and categorization of reinsurance contracts," Policy Research Working Paper Series, The World Bank, number 6299, Dec.
- Zachary Feinstein & Birgit Rudloff, 2012, "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers, arXiv.org, number 1212.5563, Dec, revised Oct 2014.
- Chalabi, Yohan & Wuertz, Diethelm, 2012, "Portfolio optimization based on divergence measures," MPRA Paper, University Library of Munich, Germany, number 43332, Nov.
- Ongena, Steven & Popov, Alexander & Udell, Gregory F., 2012, "When the cat's away the mice will play: does regulation at home affect bank risk taking abroad?," Working Paper Series, European Central Bank, number 1488, Nov.
- Friberg, Richard & Huse, Cristian, 2012, "How to use demand systems to evaluate risky projects, with an application to automobile production," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9266, Dec.