Report NEP-RMG-2015-08-19This 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:
- Raupach, Peter, 2015. "Calculating trading book capital: Is risk separation appropriate?," Discussion Papers 19/2015, Deutsche Bundesbank.
- Paul Larsen, 2015. "Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk," Papers 1508.02824, arXiv.org, revised Aug 2016.
- Maarten van Oordt & Chen Zhou, 2015. "Systemic risk of European banks: Regulators and markets," DNB Working Papers 478, Netherlands Central Bank, Research Department.
- Anisa Caja & Quentin Guibert & Frédéric Planchet, 2015. "Influence of Economic Factors on the Credit Rating Transitions and Defaults of Credit Insurance Business," Working Papers hal-01178812, HAL.
- Javier G. Gómez-Pineda & Dominique Guillaume & Kadir Tanyeri, 2015. "Systemic Risk, Aggregate Demand, and Commodity Prices," BORRADORES DE ECONOMIA 013327, BANCO DE LA REPÚBLICA.
- Hatfield, Jerry, 2015. "Remote Sensing and Risk Management Tools," Agricultural Outlook Forum 2015 204998, United States Department of Agriculture, Agricultural Outlook Forum.
- Jean-Charles Croix & Frédéric Planchet & Pierre-Emmanuel Thérond, 2015. "Mortality: a statistical approach to detect model misspecification," Post-Print hal-01149396, HAL.
- Natalya Martynova & Enrico Perotti, 2015. "Convertible bonds and bank risk-taking," DNB Working Papers 480, Netherlands Central Bank, Research Department.
- Alexis Louaas & Pierre Picard, 2014. "Optimal Insurance For Catastrophic Risk: Theory And Application To Nuclear Corporate Liability," Working Papers hal-01097897, HAL.
- Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large Deviations Of The Realized (Co-)Volatility Vector," Working Papers hal-01082903, HAL.
- Josselin Garnier & George Papanicolaou & Tzu-Wei Yang, 2015. "A risk analysis for a system stabilized by a central agent," Papers 1507.08333, arXiv.org, revised Aug 2015.
- Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2014. "Vector quantile regression," CeMMAP working papers CWP48/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Svetlana Andrianova & Badi Baltagi & Thorsten Beck & Panicos Demetriades & David Fielding & Stephen G. Hall & Steven F. Koch & Robert Lensink & Johan Rewilak & Peter Rousseau, 2015. "A New International Database on Financial Fragility," Working Papers 201557, University of Pretoria, Department of Economics.