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Report NEP-RMG-2015-03-22
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:
- Genest, Benoit & Cao, Zhili, 2014, "Value-at-Risk in turbulence time," MPRA Paper, University Library of Munich, Germany, number 62906, Jan.
- Oliver Kley & Claudia Kluppelberg, 2015, "Bounds for randomly shared risk of heavy-tailed loss factors," Papers, arXiv.org, number 1503.03726, Mar, revised Apr 2016.
- Genest, benoit & Fares, Ziad, 2014, "Optimization of Post-Scoring Classification and Impact on Regulatory Capital for Low Default Portfolios," MPRA Paper, University Library of Munich, Germany, number 62907, Apr.
- Zigrand, Jean-Pierre, 2014, "Systems and systemic risk in finance and economics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61220, Jan.
- Smaga, Pawel, 2014, "The concept of systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61214, Aug.
- Larsson, Bo & Wijkander, Hans, 2015, "Dynamic Banking with Endogenous Risk Based Funding Cost: Value Maximization, Risk-taking, Responses to Regulation and Credit Contraction," Research Papers in Economics, Stockholm University, Department of Economics, number 2015:3, Mar.
- Thimann, Christian, 2014, "How insurers differ from banks: a primer on systemic regulation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61218, Jul.
- Hirbod Assa, 2015, "Optimal risk allocation in a market with non-convex preferences," Papers, arXiv.org, number 1503.04460, Mar.
- Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge, 2014, "The kiss of information theory that captures systemic risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14069r, Oct, revised Mar 2015.
- Genest, Benoit & Rego, David & Freon, Helene, 2013, "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper, University Library of Munich, Germany, number 62908, Aug.
- Szűcs, Balázs Árpád & Váradi, Kata, 2015, "Measuring and managing liquidity risk in the Hungarian practice," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2015/03.
- Alaabed, Alaa & Masih, Mansur, 2014, "Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry," MPRA Paper, University Library of Munich, Germany, number 62991, Jun.
- Daniel Snethlage, 2015, "Towards Putting a Price on the Risk of Bank Failure," Treasury Working Paper Series, New Zealand Treasury, number 15/03, Mar.
- Albane Tarnaud & Hervé Leleu, 2015, "A DEA-financial technology: prior to portfolio analysis with DEA," Working Papers, IESEG School of Management, number 2015-EQM-02, Mar.
- Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 62932, Mar.
- Genest, benoit & Fares, Ziad & Gombert, Arnault, 2014, "Dynamic Stress Test Diffusion Model Considering the Credit Score Performance," MPRA Paper, University Library of Munich, Germany, number 62905, Jan.
- Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015, "ON Integrated Chance Constraints in ALM for Pension Funds," Papers, arXiv.org, number 1503.05343, Mar.
- Alexandra Heath & Gerard Kelly & Mark Manning, 2015, "Central Counterparty Loss Allocation and Transmission of Financial Stress," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2015-02, Mar.
- Hasan, Zubair, 2014, "Risk sharing versus risk transfer in Islamic finance: revised," MPRA Paper, University Library of Munich, Germany, number 62826, Sep, revised Mar 2015.
- Ziemba, Bill & Lleo, Sebastien, 2014, "How to lose money in derivatives: examples from hedge funds and bank trading departments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61219, May.
- Chiara Corini & Guglielmo D'Amico & Filippo Petroni & Flavio Prattico & Raimondo Manca, 2015, "Tornadoes and related damage costs: statistical modeling with a semi-Markov approach," Papers, arXiv.org, number 1503.05127, Mar.