Report NEP-RMG-2013-11-09This 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:
- Areski Cousin & Elena Di Bernardinoy, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
- Sarah Dahlgren, 2013. "Five years since the crisis: where are we now?," Speech 120, Federal Reserve Bank of New York.
- Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2013. "Risk Measure Inference," Working Papers halshs-00877279, HAL.
- 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 51150, University Library of Munich, Germany.
- Fernando Duarte & Thomas Eisenbach, 2013. "Fire-sale spillovers and systemic risk," Staff Reports 645, Federal Reserve Bank of New York.
- Assa Hirbod & Morales Manuel & Omidi Firouzi Hassan, 2013. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Papers 1311.0354, arXiv.org.
- 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 51046, University Library of Munich, Germany.
- Peter Fuleky & L Ventura & Qianxue Zhao, 2013. "Common Correlated Effects and International Risk Sharing," Working Papers 201315, University of Hawaii at Manoa, Department of Economics.
- Konstantinos Spiliopoulos & Richard B. Sowers, 2013. "Default Clustering in Large Pools: Large Deviations," Papers 1311.0498, arXiv.org, revised Feb 2015.
- Matias Leppisaari, 2013. "Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing," Papers 1310.8604, arXiv.org.
- Brun , Matthieu & Fraisse , Henri & Thesmar , David, 2013. "The Real Effects of Bank Capital Requirements," Les Cahiers de Recherche 988, HEC Paris.