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Report NEP-RMG-2015-07-04
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:
- Dominique Gu�gan & Bertrand Hassani & Kehan Li, 2015, "The Spectral Stress VaR (SSVaR)," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:17.
- Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015, "Risk and Risk Management in the Credit Card Industry," NBER Working Papers, National Bureau of Economic Research, Inc, number 21305, Jun.
- Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015, "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01166135, Mar.
- Item repec:dau:papers:123456789/15232 is not listed on IDEAS anymore
- Dominique Gu�gan & Bertrand Hassani, 2015, "Risk or Regulatory Capital? Bringing distributions back in the foreground," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:18.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015, "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers, arXiv.org, number 1507.00250, Jul.
- Kelly, Robert & O'Malley, Terence & O'Toole, Conor, 2015, "Designing Macro-prudential Policy in Mortgage Lending: Do First Time Buyers Default Less?," Research Technical Papers, Central Bank of Ireland, number 02/RT/15, Jun.
- Tobias Fissler & Johanna F. Ziegel & Tilmann Gneiting, 2015, "Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting," Papers, arXiv.org, number 1507.00244, Jul, revised Jul 2015.
- Ghosh, Saibal, 2014, "Risk, capital and financial crisis," MPRA Paper, University Library of Munich, Germany, number 65246, Mar.
- Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015, "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series, European Central Bank, number 1814, Jun.
- Peter Morgan & Paulo Jose Regis & Nimesh Salike, 2015, "Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia," ADBI Working Papers, Asian Development Bank Institute, number 528, Jun.
- Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015, "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10681, Jun.
- Item repec:spo:wpmain:info:hdl:2441/2iocb3a66198q8ovlu1gfkqie7 is not listed on IDEAS anymore
- Christopher J. Rook, 2015, "Optimal Equity Glidepaths in Retirement," Papers, arXiv.org, number 1506.08400, Jun.