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Report NEP-RMG-2015-04-25
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:
- Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-085/III, Jun, revised 08 Jul 2013.
- Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013, "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-070/III, May.
- Claudia Kluppelberg & Jianing Zhang, 2015, "Time-consistency of risk measures with GARCH volatilities and their estimation," Papers, arXiv.org, number 1504.04774, Apr, revised Feb 2016.
- Albert J. Menkveld, 2014, "Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-065/IV/DSF75, Jun.
- Andre Lucas & Bernd Schwaab & Xin Zhang, 2013, "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-063/IV/DSF56, May, revised 13 Oct 2014.
- Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013, "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-060/III, Apr, revised 06 Mar 2014.
- David Allen & Michael McAleer, 2013, "A Capital Adequacy Buffer Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-168/III, Oct.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-075/III, Jun.
- Amelia Pais & Philip A. Stork, 2013, "Short-Selling, Leverage and Systemic Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-186/IV/DSF68, Nov.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013, "Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-092/III, Jul.
- David Ardia & Lukasz Gatarek & Lennart F. Hoogerheide, 2014, "A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-028/III, Feb.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2015, "Estimation of Tail Risk based on Extreme Expectiles," TSE Working Papers, Toulouse School of Economics (TSE), number 15-566, Apr, revised Jul 2017.
- Shawkat Hammoudeh & Michael McAleer, 2014, "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-076/III, Jun.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014, "Risk Measurement and Risk Modelling using Applications of Vine Copulas," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-054/III, May.
- Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014, "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-090/III, Jul.
- Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014, "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-024/III, Feb, revised 23 Jun 2014.
- Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou, 2015, "Downside Variance Risk Premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-20, Mar, DOI: 10.17016/FEDS.2015.020.
- André Lucas & Xin Zhang, 2014, "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-092/IV/DSF77, Jul, revised 09 Sep 2015.
- Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015, "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-029/III/DSF87, Feb.
- Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2014, "Expected Utility and Catastrophic Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-133/III, Oct.
- Runhuan Feng & Xiaochen Jing & Jan Dhaene, 2015, "Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-008/IV/DSF85, Jan.
- Chia-Lin Chang & Michael McAleer, 2014, "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-153/III, Dec.
- Lukasz Gatarek & Søren Johansen, 2014, "Optimal Hedging with the Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-022/III, Feb.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013, "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-073/III, May.
- Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2015, "Tail Mutual Exclusivity and Tail-Var Lower Bounds," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-024/IV/DSF86, Feb.