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Report NEP-RMG-2015-05-30
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 & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-056/III, May.
- Danielsson, Jon & Zhou, Chen, 2015, "Why risk is so hard to measure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62002, Apr.
- Muteba Mwamba, John & Mhlanga, Isaah, 2013, "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper, University Library of Munich, Germany, number 64387, Aug.
- Dominique Guegan & Bertrand K Hassani, 2015, "Risk or Regulatory Capital? Bringing distributions back in the foreground," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15046, May.
- Paul Glasserman & Wanmo Kang, 2014, "Design of Risk Weights," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-06, Aug.
- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015, "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-975, May.
- Robert Engle & Emil Siriwardane, 2014, "Structural GARCH: The Volatility-Leverage Connection," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-07, Oct.
- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015, "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," Cahiers de recherche, CIRPEE, number 1508.
- Phillip Monin & Thaleia Zariphopoulou, 2014, "On the Optimal Wealth Process in a Log-normal Market: Applications to Risk Management," Staff Discussion Papers, Office of Financial Research, US Department of the Treasury, number 14-01, Jul.
- Roman Horváth & Boril Sopov, 2015, "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/09, May, revised May 2015.
- Phillip Monin, 2014, "Hedging Market Risk in Optimal Liquidation," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-08, Nov.
- Suarez, Ronny, 2015, "How to model the impact of political risk," MPRA Paper, University Library of Munich, Germany, number 64559, May.
- Romeil Sandhu & Tryphon Georgiou & Allen Tannenbaum, 2015, "Market Fragility, Systemic Risk, and Ricci Curvature," Papers, arXiv.org, number 1505.05182, May.
- Zhou, Richard, 2015, "Exact Methods for Path-Dependent Credit Exposure," MPRA Paper, University Library of Munich, Germany, number 64647, May, revised 25 May 3025.
- Runhuan Feng & Hans W. Volkmer, 2015, "Conditional Asian Options," Papers, arXiv.org, number 1505.06946, May.
- Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015, "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2015_08, May.
- Stefano Puddu & Andreas Waelchli, 2015, "TAF Effect on Liquidity Risk Exposure," IRENE Working Papers, IRENE Institute of Economic Research, number 15-07, May.
- Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman, 2013, "Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-07, Jul.
- Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014, "An Agent-based Model for Financial Vulnerability," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-05, Jul, revised 10 Sep 2014.