Report NEP-RMG-2015-06-13This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Delis, Manthos & Hasan, Iftekhar & Tsionas, Efthymios, 2015. "Banks’ Risk Endogenous to Strategic Management Choices," MPRA Paper 64907, University Library of Munich, Germany.
- Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
- He, Zhiguo & Krishnamurthy, Arvind, 2015. "A Macroeconomic Framework for Quantifying Systemic Risk," Research Papers 3277, Stanford University, Graduate School of Business.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
- Brown, Martin & Guin, Benjamin, 2015. "The Exposure of Mortgage Borrowers to Interest Rate Risk, Income Risk and House Price Risk – Evidence from Swiss Loan Application Data," Working Papers on Finance 1509, University of St. Gallen, School of Finance.
- Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
- Gambetta Podesta, Renzo, 2015.
"Microfinanzas en el Perú: Solvencia y Rentabilidad en las Cajas Municipales de Ahorro y Crédito
[Microfinances in Peru: Solvency and Profitability in Municipal Savings and Loans Banks]," MPRA Paper 64741, University Library of Munich, Germany.
- esposito, francesco paolo & cummins, mark, 2015. "Multiple hypothesis testing of market risk forecasting models," MPRA Paper 64986, University Library of Munich, Germany.
- Bayai, Mohsen & Erdogdu, Murat A. & Montanari, Andrea, 2015. "Estimating LASSO Risk and Noise Level," Research Papers 3284, Stanford University, Graduate School of Business.
- Takuji Arai, 2015. "Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium," Papers 1506.01477, arXiv.org.
- Bai, Jennie & Krishnamurthy, Arvind & Weymuller, Charles-Henri, 2015. "Mesuring Liquidity Mismatch in the Banking Sector," Research Papers 3278, Stanford University, Graduate School of Business.
- Item repec:dau:papers:123456789/15196 is not listed on IDEAS anymore
- Tim Leung & Matthew Lorig, 2015. "Optimal Static Quadratic Hedging," Papers 1506.02074, arXiv.org, revised Nov 2015.
- Fabio Derendinger, 2015. "Copula based hierarchical risk aggregation - Tree dependent sampling and the space of mild tree dependence," Papers 1506.03564, arXiv.org, revised Jun 2015.
- Borek Vašícek & Diana Žigraiová & Marco Hoeberichts & Robert Vermeulen & Katerina Šmídková & Jakob de Haan, 2015. "Leading indicators of financial stress: New evidence," DNB Working Papers 476, Netherlands Central Bank, Research Department.
- Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2014. "Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach," Ruhr Economic Papers 502, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Shotts, Kenneth W., 2015. "Political Risk as a Hold-Up Problem: Implications for Integrated Strategy," Research Papers 3254, Stanford University, Graduate School of Business.
- Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
- Matteo Chinazzi & Stefano Pegoraro & Giorgio Fagiolo, 2015. "Defuse the Bomb: Rewiring Interbank Networks," LEM Papers Series 2015/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015. "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers 21243, National Bureau of Economic Research, Inc.
- Ehrmann, Michael & Ziegelmeyer, Michael, 2014. "Household Risk Management and Actual Mortgage Choice in the Euro Area," MEA discussion paper series 201406, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.