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Report NEP-RMG-2015-02-05
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:
- Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014, "Risk models–at–risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59299, Jan.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2014, "Model risk of risk models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59296, Apr.
- Gildas Ratovomirija, 2015, "Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk," Papers, arXiv.org, number 1501.07297, Jan.
- Biener, Christian & Eling, Martin & Wirfs, Jan Hendrik, 2015, "Insurability of Cyber Risk: An Empirical Analysis," Working Papers on Finance, University of St. Gallen, School of Finance, number 1503, Jan.
- Abd elrahman Elzahi & Saaid Ali, 2015, "The Impact of Credit Risk Transfer on Islamic Banks Lending Behavior and Financial Stability," Working Papers, The Islamic Research and Teaching Institute (IRTI), number 1433-5, Jan.
- Birch, Annika & Aste, Tomaso, 2014, "Systemic losses due to counterparty risk in a stylized banking system," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 57700, Sep.
- Olivier Le Marois & Julia Mikhalevski & Raphaël Douady, 2014, "Extreme Risk, excess return and leverage: the LP formula," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14094, Dec.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014, "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0186, Sep.
- Georgios Charalampous & Reinhard Madlener, 2013, "Risk Management and Portfolio Optimization for Gas- and Coal-fired Power Plants in Germany: A Multivariate GARCH Approach," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 23/2013, Dec.
- Dassios, Angelos & Zhao, Hongbiao, 2014, "A Markov chain model for contagion," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60155, Nov.
- Selman Erol & Rakesh Vohra, 2014, "Network Formation and Systemic Risk, Second Version," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 15-001, Aug, revised 19 Dec 2014.
- Arfaoui, Mongi & Ben Rejeb, Aymen, 2015, "Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?," MPRA Paper, University Library of Munich, Germany, number 61520, Jan.
- Moore, Kyle & Zhou, Chen, 2014, "The determinants of systemic importance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59289, Aug.
- Ho Hwang, Jong, 2014, "A proposal for an open-source financial risk model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59298, Jan.
- Voloshyn, Ihor & Voloshyn, Mykyta, 2013, "Risk-adjusted pricing of bank’s assets based on cash flow matching matrix," MPRA Paper, University Library of Munich, Germany, number 61611, Dec.
- Dassios, Angelos & Zhao, Hongbiao, 2013, "Exact simulation of Hawkes process with exponentially decaying intensity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 51370, Jul.
- Veronesi, Pietro & Nozawa, Yoshio & Culp, Christopher L., 2014, "Option-Based Credit Spreads," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10318, Dec.
- Surminski, Swenja, 2014, "The role of insurance in reducing direct risk: the case of flood insurance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60764, Dec.
- Bachev, Hrabrin, 2015, "Expert assessment on agri-food implications of March 2011 earthquake, tsunami and Fukushima nuclear accident in Japan," MPRA Paper, University Library of Munich, Germany, number 61607, Jan.