Report NEP-RMG-2013-09-24This 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:
- Griveau-Billion, Théophile & Richard, Jean-Charles & Roncalli, Thierry, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," MPRA Paper 49822, University Library of Munich, Germany.
- Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
- Jorge A Chan-Lau, 2013. "Market-Based Structural Top-Down Stress Tests of the Banking System," IMF Working Papers 13/88, International Monetary Fund.
- Brenda López Cabrera, & Franziska Schulz,, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers SFB649DP2013-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Andreas A. Jobst & Li L Ong & Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing; Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 13/68, International Monetary Fund.
- Bin Wang & Tao Sun, 2013. "How Effective are Macroprudential Policies in China?," IMF Working Papers 13/75, International Monetary Fund.
- JosÃ© VinÃ£ls & Ceyla Pazarbasioglu & Jay Surti & Aditya Narain & Michaela Erbenova & Julian T Chow, 2013. "Creating a Safer Financial System; Will the Volcker, Vickers, and Liikanen Structural Measures Help?," IMF Staff Discussion Notes 13/4, International Monetary Fund.
- Lev Ratnovski, 2013. "Competition Policy for Modern Banks," IMF Working Papers 13/126, International Monetary Fund.
- International Monetary Fund. Asia and Pacific Dept, 2013. "Malaysia; Financial Sector Stability Assessment," IMF Staff Country Reports 13/52, International Monetary Fund.
- International Monetary Fund. Monetary and Capital Markets Department, 2013. "France; Financial Sector Assessment Programâ€”Technical Note on Crisis Management and Bank Resolution Framework," IMF Staff Country Reports 13/186, International Monetary Fund.
- Helene Poirson Ward & Jochen M. Schmittmann, 2013. "Risk Exposures and Financial Spillovers in Tranquil and Crisis Times; Bank-Level Evidence," IMF Working Papers 13/142, International Monetary Fund.
- Bulow, Jeremy I. & Klemperer, Paul, 2013. "Market-Based Bank Capital Regulation," CEPR Discussion Papers 9618, C.E.P.R. Discussion Papers.
- Efing, Matthias & Hau, Harald, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," CEPR Discussion Papers 9465, C.E.P.R. Discussion Papers.
- Clemens Bonner & Iman van Lelyveld & Robert Zymek, 2013. "Banks' Liquidity Buffers and the Role of Liquidity Regulation," DNB Working Papers 393, Netherlands Central Bank, Research Department.