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Report NEP-RMG-2015-05-16
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:
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015, "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance, University of St. Gallen, School of Finance, number 1508, May.
- Amir Memartoluie & David Saunders & Tony Wirjanto, 2015, "Wrong-Way Bounds in Counterparty Credit Risk Management," Papers, arXiv.org, number 1505.02292, May.
- Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015, "Risk factors, Copula dependence and risk sensitivity of a large portfolio," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15040, Mar.
- Ramin Okhrati & Alejandro Balb'as & Jos'e Garrido, 2015, "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Papers, arXiv.org, number 1505.03501, May.
- Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015, "An entropy-based early warning indicator for systemic risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:09.
- Marius Hofert & Amir Memartoluie & David Saunders & Tony Wirjanto, 2015, "Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm," Papers, arXiv.org, number 1505.02281, May, revised Dec 2015.
- Grupp, Marcel, 2015, "On the impact of leveraged buyouts on bank systemic risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 101, DOI: 10.2139/ssrn.2602220.
- Irina-Raluca Badea, 2015, "Safeguarding the Banking System - a New Perspective on the Consolidation of the Macroprudential Regulation," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1003921, May.
- Venelin Terziev & Ekaterina Arabska & Vesela Radovic, 2015, "Risk Management In Organic Farming," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1003048, May.
- Bart Keijsers & Bart Diris & Erik Kole, 2015, "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-050/III, May, revised 01 Sep 2017.
- Francesca Parpinel, 2015, "The statistical combination procedure in measures for risk in financial systems," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:08.
- Mihaela Daciana Nanu, 2015, "The impact of internal audit on the financial risk management of SMEs in Romania in the context of fiscal harmonization," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1003485, May.
- Kogler, Michael, 2015, "Rewarding Prudence: Risk Taking, Pecuniary Externalities and Optimal Bank Regulation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1512, May.
- Sandra Rigot, 2015, "Does Regulation Matter? Riskiness in Pension Asset Allocation," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1003259, May.
- Fatih Kiraz & Ozgur Uysal & Yakup Ergincan, 2015, "A New Risk Appetite Index and CDS spreads: Evidence from an Emerging Market," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1004032, May.
- Mariana Nedelcu (Bunea), 2015, "Study on the relationship between the quality of external audit - financial performance, solvency and risk management in the Romanian banking system," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 1003389, May.
- Thai Huu Nguyen & Serguei Pergamenschchikov, 2015, "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers, arXiv.org, number 1505.02627, May, revised Sep 2019.
- Hammond, Peter, 2015, "Catastrophic Risk, Rare Events, and Black Swans: Could There Be a Countably Additive Synthesis?," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1060.
- Nordblom, Thomas L. & Hutchings, Timothy R. & Hayes, Richard C. & Li, Guangdi D., 2015, "A Framework for Modelling Whole-Farm Financial Risk," 2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand, Australian Agricultural and Resource Economics Society, number 202581, Feb, DOI: 10.22004/ag.econ.202581.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015, "Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios," Discussion Papers, Department of Economics, University of York, number 15/06, May.