Report NEP-RMG-2014-04-05

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:

• Colliard, Jean-Edouard, 2014, "Rational blinders: strategic selection of risk models and bank capital regulation," Working Paper Series, European Central Bank, number 1641, Feb.
• Dominique Guegan & Bertrand Hassani, 2014, "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00969242, Feb.
• Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013, "Conditional and joint credit risk," Working Paper Series, European Central Bank, number 1621, Dec.
• Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014, "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2014/310.
• Jose J. Canals-Cerda & Sougata Kerr, 2014, "Forecasting credit card portfolio losses in the Great Recession: a study in model risk," Working Papers, Federal Reserve Bank of Philadelphia, number 14-10, Mar.
• Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013, "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank, number 1626, Dec.
• Jaehyung Choi, 2014, "Maximum drawdown, recovery, and momentum," Papers, arXiv.org, number 1403.8125, Mar, revised Sep 2021.
• Grothe, Magdalena, 2013, "Market pricing of credit rating signals," Working Paper Series, European Central Bank, number 1623, Dec.
• Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014, "An agent-based computational model for China's stock market and stock index futures market," Papers, arXiv.org, number 1404.1052, Mar.
• Zhenyu Cui, 2014, "Omega risk model with tax," Papers, arXiv.org, number 1403.7680, Mar.
• Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers, 2014, "Are credit ratings time-homogeneous and Markov?," Papers, arXiv.org, number 1403.8018, Mar, revised Oct 2014.
• Pablo D'Erasmo & Ryan A. Decker & Herman J. Moscoso Boedo, 2014, "Market exposure and endogenous firm volatility over the business cycle," Working Papers, Federal Reserve Bank of Philadelphia, number 14-12, Mar.
• Ralph S. J. Koijen & Motohiro Yogo, 2014, "Growing Risk in the Insurance Sector," Economic Policy Paper, Federal Reserve Bank of Minneapolis, number 14-2, Mar.
• Daniel Harenberg & Alexander Ludwig, 2014, "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 14/193, Mar.
• Gunther Leobacher & Philip Ngare, 2014, "Utility indifference pricing of derivatives written on industrial loss indexes," Papers, arXiv.org, number 1404.0879, Apr.
• Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014, "Commonality in hedge fund returns: driving factors and implications," Working Paper Series, European Central Bank, number 1658, Mar.
• Labonne, C. & Lam , G., 2014, "Credit Growth and Bank Capital Requirements: Binding or Not?," Working papers, Banque de France, number 481.

Report NEP-RMG-2014-04-05

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: