Report NEP-RMG-2013-11-16

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Lance Kent & Toan Phan, 2013. "Business Cycles with Revolutions," Working Papers 145, Department of Economics, College of William and Mary.
• Mittnik, Stefan, 2013. "VaR-implied tail-correlation matrices," CFS Working Paper Series 2013/05, Center for Financial Studies (CFS).
• Elisa Luciano & Luca Regis, 2013. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Carlo Alberto Notebooks 308, Collegio Carlo Alberto.
• Natasha Agarwal et al, 2013. "A Systematic approach to identify systemically important firms," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2013-021, Indira Gandhi Institute of Development Research, Mumbai, India.
• Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
• Peltonen, Tuomas A. & Vuillemey, Guillaume, 2013. "Disentangling the bond-CDS nexus: a stress test model of the CDS market," Working Paper Series 1599, European Central Bank.
• Neagu, Florian & Mihai, Irina, 2013. "Sudden stop of capital flows and the consequences for the banking sector and the real economy," Working Paper Series 1591, European Central Bank.
• Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "An analysis of portfolio selection with multiplicative background risk," MPRA Paper 51331, University Library of Munich, Germany.
• Item repec:aei:rpaper:39388 is not listed on IDEAS anymore

• Edoardo Gaffeo & Massimo Molinari, 2013. "Interbank contagion and resolution procedures: inspecting the mechanism," DEM Discussion Papers 2013/09, Department of Economics and Management.
• Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Procese decizionale în cadrul managementului riscurilor [Decision – making Processes in the Risk Management]," MPRA Paper 50754, University Library of Munich, Germany, revised 17 Oct 2013.
• Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
• Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
• Yener Altunbas & Michiel van Leuvensteijn & David Marques-Ibanez, 2013. "Competition And Bank Risk: The Role Of Securitization And Bank Capital," Working Papers 13005, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
• Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013. "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers 2013-31, Department of Economics and Business Economics, Aarhus University.
• Detken, Carsten & Peltonen, Tuomas A. & Schudel, Willem & Behn, Markus, 2013. "Setting countercyclical capital buffers based on early warning models: would it work?," Working Paper Series 1604, European Central Bank.
• Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
• Tomasz Gerard Czekaj & Arne Henningsen, 2013. "Panel Data Nonparametric Estimation of Production Risk and Risk Preferences: An Application to Polish Dairy Farms," IFRO Working Paper 2013/6, University of Copenhagen, Department of Food and Resource Economics.
• V. A. Kalyagin & A. P. Koldanov & P. A. Koldanov & P. M. Pardalos & V. A. Zamaraev, 2013. "Measures of uncertainty in market network analysis," Papers 1311.2273, arXiv.org.
• Mel MacMahon & Diego Garlaschelli, 2013. "Community detection for correlation matrices," Papers 1311.1924, arXiv.org, revised Oct 2014.
• Jermann, Urban J. & Yue, Vivian Z., 2013. "Interest rate swaps and corporate default," Working Paper Series 1590, European Central Bank.
• Item repec:dau:papers:123456789/7874 is not listed on IDEAS anymore