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Report NEP-RMG-2013-06-30
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:
- Sylvain Benoît & Christophe Hurlin & Christophe Pérignon, 2014, "Implied Risk Exposures," Working Papers, HAL, number halshs-00836280, Jul.
- Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie, 2013, "Computational Dynamic Market Risk Measures in Discrete Time Setting," Papers, arXiv.org, number 1306.5705, Jun.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013, "Conditional euro area sovereign default risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 269, May.
- Elena Di Bernardino & Didier Rullière, 2013, "Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory," Post-Print, HAL, number hal-00750873, May, DOI: 10.1016/j.insmatheco.2013.05.001.
- Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013, "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1309, DOI: 10.26509/frbc-wp-201309.
- Didier Rullière & Diana Dorobantu & Areski Cousin, 2013, "An extension of Davis and Lo's contagion model," Post-Print, HAL, number hal-00374367, DOI: 10.1080/14697688.2012.727015.
- Beno^it Collins & David McDonald & Nadia Saad, 2013, "Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation," Papers, arXiv.org, number 1306.5510, Jun.
- Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2013, "On Modeling Economic Default Time: A Reduced-Form Model Approach," Papers, arXiv.org, number 1306.6402, Jun.
- Stefan Tappe & Thorsten Schmidt, 2013, "Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity," Papers, arXiv.org, number 1306.6267, Jun.
- Jean-François Carpantier & Arnaud Dufays, 2013, "Commodities Inventory Effect," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-07.