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Report NEP-RMG-2015-03-13
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:
- Pedro Gurrola-Perez & David Murphy, 2015, "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers, Bank of England, number 525, Mar.
- M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni, 2015, "A Quantization Approach to the Counterparty Credit Exposure Estimation," Papers, arXiv.org, number 1503.01754, Mar.
- Torres Díaz, Raúl Andrés & Lillo Rodríguez, Rosa Elvira & Laniado Rodas, Henry, 2015, "A Directional Multivariate Value at Risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws1501, Jan.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015, "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 15-03.
- Ojo, Marianne, 2015, "Implementing Basel III through the Capital Requirements Directive (CRD) IV: leverage ratios and capital adequacy requirements," MPRA Paper, University Library of Munich, Germany, number 62635, Mar.
- Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015, "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2015-01, Feb.
- Hernández del Valle Gerardo & Pacheco-González Carlos, 2014, "Valuation of credit default swaps via Bessel bridges," Working Papers, Banco de México, number 2014-27, Dec.
- Amogh Deshpande & Saul D. Jacka, 2015, "Game-theoretic approach to risk-sensitive benchmarked asset management," Papers, arXiv.org, number 1503.01802, Mar.
- Brown, Martin & Schaller, Matthias & Westerfeld, Simone & Heusler, Markus, 2015, "Internal Control and Strategic Communication within Firms – Evidence from Bank Lending," Working Papers on Finance, University of St. Gallen, School of Finance, number 1504, Feb, revised Jul 2015.
- Jones, Clive, 2015, "Predictability of the daily high and low of the S&P 500 index," MPRA Paper, University Library of Munich, Germany, number 62664, Mar.
- Javier Mencía & Enrique Sentana, 2015, "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers, CEMFI, number wp2015_1501, Feb.
- Erhan Bayraktar & Virginia R. Young & David Promislow, 2015, "Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case," Papers, arXiv.org, number 1503.02237, Mar.