Report NEP-RMG-2015-08-30This 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:
- Woll, Oliver, 2015. "Mean-risk hedging strategies in electricity markets with limited liquidity," ZEW Discussion Papers 15-056, ZEW - Leibniz Centre for European Economic Research.
- Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle, 2015. "Copula-Based Factor Model for Credit Risk Analysis," SFB 649 Discussion Papers SFB649DP2015-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Brown, Jeffrey A. & McGourty, Brad & Schuermann, Til, 2015. "Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management," Working Papers 15-01, University of Pennsylvania, Wharton School, Weiss Center.
- Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
- Ames, Mark & Schuermann, Til & Scott, Hal S., 2014. "Bank Capital for Operational Risk: A Tale of Fragility and Instability," Working Papers 14-02, University of Pennsylvania, Wharton School, Weiss Center.
- Stulz, Rene M., 2014. "Governance, Risk Management, and Risk-Taking in Banks," Working Papers 14-09, University of Pennsylvania, Wharton School, Weiss Center.
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
- Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2015. "Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks," Discussion Papers 23/2015, Deutsche Bundesbank.
- Wahyoe Soedarmono & Romora Edward Sitorus & Amine Tarazi, 2015. "Bank charter value, systemic risk and credit reporting systems: Evidence from the Asia-Pacific region," Working Papers hal-01174111, HAL.
- Jankensgård, Håkan & Alviniussen, Alf & Oxelheim, Lars, 2015. "Why FX Risk Management Is Broken – And What Boards Need to Know to Fix It," Working Paper Series 1078, Research Institute of Industrial Economics.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Bakke, Tor-Erik & Mahmudi, Hamed & Fernando, Chitru S. & Salas, Jesus M., 2015. "The Causal Effect of Option Pay on Corporate Risk Management," Working Papers 15-08, University of Pennsylvania, Wharton School, Weiss Center.
- Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
- Céline Meslier-Crouzille & Donald P. Morgan & Katherine Samolyk & Amine Tarazi, 2015. "The Benefits of Geographic Diversification in Banking," Working Papers hal-01155170, HAL.
- K Autchariyapanitkul & S Chanaim & S Sriboonchitta & T Denoeux, 2014. "Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions," Post-Print hal-01127790, HAL.
- Sebastien Delmotte & Alain Desroches, 2014.
"L’Analyse Globale des Risques Quantitative (AGRq)
[Quantitative Global Risk Analysis (GRAq)]," Post-Print hal-01109059, HAL.
- Guillaume Plantin, 2015. "Shadow Banking and Bank Capital Regulation," Post-Print hal-01168494, HAL.