Report NEP-RMG-2014-06-02This 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:
- Jose Manuel Feria-Dominguez & Enrique Jimenez-Rodriguez & Pilar Camacho-Rubio, 2014. "People Value at Risk: A Key Indicator for Sound Management," Working Papers 14.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
- Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger, 2014. "Default probabilities and default correlations under stress," Frankfurt School - Working Paper Series 211, Frankfurt School of Finance and Management.
- Ojo, Marianne, 2014. "Achieving an adequate balance between the level of complexity, objectivity and comparability which is required within the capital framework: credit ratings and the Standardized Approach (SA-CCR) for m," MPRA Paper 56209, University Library of Munich, Germany.
- Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Collins, Sean & Gallagher, Emily, 2014. "Assessing Credit Risk in Money Market Fund Portfolios," MPRA Paper 56256, University Library of Munich, Germany.
- Hyejin Cho, 2014. "The Bank capital regulation (BCR) model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00958499, HAL.
- Chris Kenyon & Andrew Green, 2014. "VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution," Papers 1405.7611, arXiv.org.
- Item repec:bir:birmec:14-06 is not listed on IDEAS anymore
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
- Aguirregabiria, Victor & Clark, Robert & Wang, Hui, 2014. "Diversification of Geographic Risk in Retail Bank Networks: Evidence from Bank Expansion after the Riegle-Neal Act," CEPR Discussion Papers 9816, C.E.P.R. Discussion Papers.
- Kondor, Péter & Vayanos, Dimitri, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
- Kriwoluzky, Alexander & Müller, Gernot & Wolf, Martin, 2013. "Currency Risk in Currency Unions," CEPR Discussion Papers 9635, C.E.P.R. Discussion Papers.
- Aldy, Joseph E. & Smyth, Seamus J., 2014. "Heterogeneity in the Value of Life," Discussion Papers dp-14-13, Resources For the Future.