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Report NEP-RMG-2015-06-05
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:
- Boholm, Åsa & Corvellec, Hervé, 2015, "The role of valuation practices for risk identification," GRI-rapport, University of Gothenburg, Gothenburg Research Institute GRI, number 2015:4, May.
- Pfohl, Hans-Christian & Zuber, Christian & Berbner, Ulrich, 2014, "The Imbalance of Supply Risk and Risk Management Activities in Supply Chains: Developing Metrics to Enable Network Analysis in the Context of Supply Chain Risk Management," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 70589.
- Hyejin Cho, 2014, "The Bank Capital Regulation (BCR) Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01068235, Sep.
- Olivier Le Marois & Julia Mikhalevsky & Raphaël Douady, 2014, "Extreme Risk, excess return and leverage: the LP formula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01151376, Dec.
- Simonov, Andrei & Bodnaruk, Andriy & Chokaev, Bekhan, 2015, "Downside Risk Timing by Mutual Funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10639, May.
- Nassim Nicholas Taleb & Raphaël Douady, 2014, "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01151340, Dec.
- Paolo Giudici & Shatha Hashem, 2015, "Systemic risk of Islamic Banks," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 103, May.
- Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014, "The kiss of information theory that captures systemic risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01110712, Oct.
- Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015, "The impact of capital on lending in publicly-traded and privately- held banks in the EU," Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management, number 72015, Nov.
- Catullo, Ermanno & Gallegati, Mauro & Palestrini, Antonio, 2015, "Systemic risk and macro-prudential policies: A credit network-based approach," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 39.
- Sarlin, Peter & Ramsay, Bruce A., 2015, "Ending over-lending: assessing systemic risk with debt to cash flow," Working Paper Series, European Central Bank, number 1769, Mar.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015, "Optimal Investment to Minimize the Probability of Drawdown," Papers, arXiv.org, number 1506.00166, May, revised Feb 2016.
- Moccero, Diego & Gnabo, Jean-Yves, 2015, "The risk management approach to monetary policy, nonlinearity and aggressiveness: the case of the US Fed," Working Paper Series, European Central Bank, number 1792, May.
- Rania Hentati-Kaffel & Jean-Luc Prigent, 2014, "Portfolio Optimization within Mixture of Distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01066105, Sep.
- Antoine Kornprobst & Raphael Douady, 2015, "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers, arXiv.org, number 1506.00806, Jun, revised Sep 2017.
- Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015, "Forecasting with VAR models: fat tails and stochastic volatility," Bank of England working papers, Bank of England, number 528, May.