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Report NEP-RMG-2014-12-24
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:
- Stefano Gurciullo, 2014, "Stess-testing the system: Financial shock contagion in the realm of uncertainty," Papers, arXiv.org, number 1412.1679, Dec.
- Krug, Sebastian & Lengnick, Matthias & Wohltmann, Hans-Werner, 2014, "The impact of Basel III on financial (in)stability: An agent-based credit network approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2014-13.
- Michel Denuit & Anna Kiriliouk & Johan Segers, 2014, "Max-factor individual risk models with application to credit portfolios," Papers, arXiv.org, number 1412.3230, Dec.
- Anginer, D. & Demirguc-Kunt, Asli & Huizinga, H.P. & Ma, K., 2014, "Corporate Governance and Bank Insolvency Risk : International Evidence," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-053.
- Justin Chircop & Zoltán Novotny-Farkas, 2014, "The economic consequences of including fair value adjustments to shareholders’ equity in regulatory capital calculations," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1426, Nov.
- Tim Bollerslev & Viktor Todorov & Lai Xu, 2014, "Tail Risk Premia and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-49, Sep.
- Giovanni Mottola, 2014, "Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA," Papers, arXiv.org, number 1412.1325, Dec, revised Feb 2015.
- Ghysels, Eric & Andreou, Elena, 2014, "Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got To Do With It?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10236, Nov.
- Bernd Bartels, 2014, "Why Rating Agencies Disagree on Sovereign Ratings," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1416, Dec, revised 02 Dec 2014.
- Naoyuki Yoshino & Farhad Taghizadeh-Hesary, 2014, "Hometown Investment Trust Funds: An Analysis of Credit Risk," ADBI Working Papers, Asian Development Bank Institute, number 505, Dec.
- Mark J. Jensen & John M. Maheu, 2014, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series, Rimini Centre for Economic Analysis, number 31_14, Nov.
- Q. Feng & C. W. Oosterlee, 2014, "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers, arXiv.org, number 1412.3623, Dec.