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Report NEP-RMG-2014-05-04
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:
- Liudmila G. Egorova, 2014, "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers, National Research University Higher School of Economics, number WP BRP 29/FE/2014.
- Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014, "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 14-E-03, Apr.
- Rohde, Johannes & Sibbertsen, Philipp, 2014, "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-528, Apr.
- Evers, Corinna & Rohde, Johannes, 2014, "Model Risk in Backtesting Risk Measures," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-529, Apr.
- Stéphane Loisel & Julien Trufin, 2014, "Properties of a risk measure derived from the expected area in red," Post-Print, HAL, number hal-00870224, Mar.
- J. David Cummins & Mary A. Weiss, 2013, "Systemic Risk and Regulation of the U.S. Insurance Industry," NFI Policy Briefs, Indiana State University, Scott College of Business, Networks Financial Institute, number 2013-PB-02, Mar.
- Amine Lahiani & Duc Khuong Nguyen & Thierry Vo, 2014, "Understanding return and volatility spillovers among major agricultural commodities," Working Papers, Department of Research, Ipag Business School, number 2014-243, Jan.
- Alexander Razen & Wolfgang Brunauer & Nadja Klein & Thomas Kneib & Stefan Lang & Nikolaus Umlauf, 2014, "Statistical Risk Analysis for Real Estate Collateral Valuation using Bayesian Distributional and Quantile Regression," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2014-12, Apr.
- Heni Boubaker & Nadia Sghaier, 2014, "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers, Department of Research, Ipag Business School, number 2014-281, Jan.
- Boubacar Camara & Laetitia Lepetit & Amine Tarazi, 2013, "Ex Ante Capital Position, Changes in the Different Components of Regulatory Capital and Bank Risk," Post-Print, HAL, number hal-00918521, DOI: 10.1080/00036846.2013.804166.
- Edward J. Kane, 2014, "Insurance Contracts and Derivatives that Substitute for Them: How and Where Should Their Systemic and Nonperformance Risks be Regulated?," NFI Policy Briefs, Indiana State University, Scott College of Business, Networks Financial Institute, number 2014-PB-03, Apr.
- Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014, "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers, Department of Research, Ipag Business School, number 2014-236, Jan.
- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013, "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print, HAL, number hal-00746251.