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Report NEP-RMG-2013-11-09
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:
- Areski Cousin & Elena Di Bernardino, 2013, "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers, HAL, number hal-00877386, Oct.
- Sarah J. Dahlgren, 2013, "Five years since the crisis: where are we now?," Speech, Federal Reserve Bank of New York, number 120.
- Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2015, "Risk Measure Inference," Working Papers, HAL, number halshs-00877279, Feb.
- El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013, "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper, University Library of Munich, Germany, number 51150, Oct.
- Fernando M. Duarte & Thomas M. Eisenbach, 2013, "Fire-sale spillovers and systemic risk," Staff Reports, Federal Reserve Bank of New York, number 645, Oct.
- Assa Hirbod & Morales Manuel & Omidi Firouzi Hassan, 2013, "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Papers, arXiv.org, number 1311.0354, Nov.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Buc," MPRA Paper, University Library of Munich, Germany, number 51046, Oct.
- Peter Fuleky & L Ventura & Qianxue Zhao, 2013, "Common Correlated Effects and International Risk Sharing," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201315, Aug.
- Konstantinos Spiliopoulos & Richard B. Sowers, 2013, "Default Clustering in Large Pools: Large Deviations," Papers, arXiv.org, number 1311.0498, Nov, revised Feb 2015.
- Matias Leppisaari, 2013, "Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing," Papers, arXiv.org, number 1310.8604, Oct.
- Brun , Matthieu & Fraisse , Henri & Thesmar , David, 2013, "The Real Effects of Bank Capital Requirements," HEC Research Papers Series, HEC Paris, number 988, Jul.