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Report NEP-RMG-2015-06-20
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:
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015, "A risk management approach to capital allocation," Papers, arXiv.org, number 1506.04125, Jun.
- Hyejin Cho, 2015, "The Bank Capital Regulation (BCR) Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01162071, Feb.
- Alfredo Ibáñez, 2015, "Default near-the-default-point: the value of and the distance to default," Working Papers, Banco de España, number 1514, Jun.
- Vahan Nanumyan & Antonios Garas & Frank Schweitzer, 2015, "The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives," Papers, arXiv.org, number 1506.04663, Jun, revised Sep 2015.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015, "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 550.
- Arayssi, Mahmoud, 2015, "Captive Funds and Banks' Capital," MPRA Paper, University Library of Munich, Germany, number 64912, May.
- Gabriela Kuvikova, 2015, "Credit Ratings and Their Information Value: Evidence from the Recent Financial Crisis," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp544, Jun.
- Gabriel Illanes & Alejandro Pena & Andrés Sosa, 2014, "Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2014002.
- Cecilia Dassatti & Alejandro Pena & Jorge Ponce & Magdalena Tubio, 2014, "Requerimiento de capital contra-cíclico. El caso uruguayo," Documentos de trabajo, Banco Central del Uruguay, number 2014008.
- Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2015, "Numerical analysis on local risk-minimization forexponential L\'evy models," Papers, arXiv.org, number 1506.03898, Jun.
- Andrew W. Lo, 2015, "The Gordon Gekko Effect: The Role of Culture in the Financial Industry," NBER Working Papers, National Bureau of Economic Research, Inc, number 21267, Jun.
- Swenja Surminski & Paul Hudson & Jeroen Aerts & Wouter Botzen & M.Conceição Colaço & Florence Crick & Jill Eldridge & Anna Lorant & António Macedo & Reinhard Mechler & Carlos Neto & Robin Nicolai & Di, 2015, "Novel and improved insurance instruments for risk reduction," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 188, Apr.
- Antoine Kornprobst & Raphael Douady, 2015, "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15049, Jun.
- Juan S. Lemus-Esquivel & Carlos A. Quicazán-Morenoy & Jorge L. Hurtado-Guarínz & Angélica Lizarazo-Cuéllarx, 2015, "Financial Soundness Index for the Private Corporate Sector in Colombia," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 08-2015, Mar.
- Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015, "The scale of predictability," CIRANO Working Papers, CIRANO, number 2015s-21, May.
- Andrew Harvey & Rutger-Jan Lange, 2015, "Volatility Modeling with a Generalized t-distribution," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1517, Jun.
- James Banks & Richard Blundell & Zoé Oldfield & James P. Smith, 2015, "House Price Volatility and the Housing Ladder," NBER Working Papers, National Bureau of Economic Research, Inc, number 21255, Jun.
- Franco Panfili & Francesco Daini & Francesco Potente & Giuseppe Reale, 2015, "Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 277, Jun.