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Report NEP-RMG-2015-02-11
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:
- Toshinao Yoshiba, 2015, "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-01, Jan.
- Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015, "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers, Bank for International Settlements, number 484, Jan.
- Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015, "A Directional Multivariate Value at Risk," Papers, arXiv.org, number 1502.00908, Feb.
- Jose J. Canals-Cerda & Sougata Kerr, 2015, "Credit risk modeling in segmented portfolios: an application to credit cards," Working Papers, Federal Reserve Bank of Philadelphia, number 15-8, Feb.
- Perignon , Christophe & Yeung , Stanley & Hurlin, Christophe & Iseli, Grégoire, 2014, "The Collateral Risk of ETFs," HEC Research Papers Series, HEC Paris, number 1050, Aug.
- Jinbeom Kim & Tim Leung, 2015, "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers, arXiv.org, number 1501.06221, Jan.
- Iosifidi, Maria & Kokas, Sotirios, 2015, "Who lends to riskier and lower-profitability firms? Evidence from the syndicated loan market," MPRA Paper, University Library of Munich, Germany, number 61942.
- Hylmun Izhar, 2015, "Measuring Operational Risk Exposures In Islamic Banking: A Proposed Measurement Approach," Working Papers, The Islamic Research and Teaching Institute (IRTI), number 1432-3, Jan.
- Tasca, Paolo & Battiston, Stefano, 2014, "Diversification and financial stability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59297, Feb.
- Guillaume Plantin, 2014, "Shadow Banking and Bank Capital Regulation," Working Papers, Hong Kong Institute for Monetary Research, number 322014, Dec.
- Vilsmeier, Johannes, 2014, "Updating the option implied probability of default methodology," Discussion Papers, Deutsche Bundesbank, number 43/2014.
- Oliver Janke & Qinghua Li, 2015, "Portfolio Optimization under Shortfall Risk Constraint," Papers, arXiv.org, number 1501.07480, Jan, revised Apr 2016.
- Suarez, Javier & Derviz, Alexis & Nikolov, Kalin & Clerc, Laurent & Mendicino, Caterina & Stracca, Livio & Vardoulakis, Alexandros & Moyen, Stéphane, 2014, "Capital Regulation in a Macroeconomic Model with Three Layers of Default," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10316, Dec.
- Nassim Nicholas Taleb & Raphaël Douady, 2014, "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14093, Dec, DOI: 10.1080/14697688.2013.800219.
- Peter Christoffersen & Xuhui (Nick) Pan, 2014, "Equity Portfolio Management Using Option Price Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-05, Apr.
- Conrad, Christian & Mammen , Enno, 2015, "Asymptotics for parametric GARCH-in-Mean Models," Working Papers, University of Heidelberg, Department of Economics, number 0579, Jan.
- Catalina Bolancé & Zuhair Bahraoui & Ramon Alemany, 2015, "Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number XREAP2015-01, Jan, revised Jan 2015.
- Sgouropoulos, Nikolaos & Yao, Qiwei & Yastremiz, Claudia, 2015, "Matching a distribution by matching quantiles estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 57221, Jun.
- Michael Ho & Zheng Sun & Jack Xin, 2015, "Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation," Papers, arXiv.org, number 1502.01658, Feb, revised Oct 2015.