Printed from https://ideas.repec.org/n/nep-rmg/2015-04-11.html
Report NEP-RMG-2015-04-11
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:
- Nico Katzke & Chris Garbers, 2015, "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers, Stellenbosch University, Department of Economics, number 06/2015.
- PIERRET, Diane, 2014, "Systemic risk and the solvency-liquidity nexus of banks," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014038, Nov.
- Elisabetta Cagna & Giulio Casuccio, 2014, "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 142, Oct.
- Braione, Manuela & Scholtes, Nicolas K., 2014, "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014059, Nov.
- Freddy Delbaen, 2015, "Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123," Papers, arXiv.org, number 1504.00640, Apr.
- Laurent Clerc, 2015, "Capital Regulation in a Macroeconomic Model with Three Layers of Default," Working Papers, Banco de Portugal, Economics and Research Department, number w201503.
- Edina Berlinger & György Walter, 2015, "Introduction of an Income Contingent Repayment Scheme for Non-Performing Mortgage Loans - Lessons from Hungary’s Case," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1502, Jan.
- Sebastián Becerra & Gregory Claeys & Juan Francisco Martínez, 2015, "A New Liquidity Risk Measure for the Chilean Banking Sector," Working Papers Central Bank of Chile, Central Bank of Chile, number 746, Feb.
- Sylwia Bozek & Izabela Emerling, 2015, "Protecting the organization against risk and the role of financial audit," Working Papers, Institute of Economic Research, number 34/2015, Apr, revised Apr 2015.
- Avdulaj, Krenar & Barunik, Jozef, 2015, "Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 32.
- Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli, 2015, "DebtRank: A microscopic foundation for shock propagation," Papers, arXiv.org, number 1504.01857, Apr, revised Jun 2015.
- Item repec:dnb:dnbwpp:469 is not listed on IDEAS anymore
- Hyeongwoo Kim & Wen Shi, 2015, "Forecasting Financial Market Vulnerability in the U.S.: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2015-04, Apr.