Report NEP-RMG-2015-09-18This 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:
- Mutale Katyoka & Simon Stevenson, 2015. "Real estate market risk modelling," ERES eres2015_211, European Real Estate Society (ERES).
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2015. "Ex-ante real estate Value at Risk calculation method," ERES eres2015_56, European Real Estate Society (ERES).
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- Peltonen, Tuomas & Sarlin, Peter & Piloiu, Andreea, 2015. "Network linkages to predict bank distress," Working Paper Series 1828, European Central Bank.
- Clemente De Rosa & Elisa Luciano & Luca Regis, 2015. "Basis risk in static versus dynamic longevity-risk hedging," Carlo Alberto Notebooks 425, Collegio Carlo Alberto, revised Oct 2015.
- Heinz, Frigyes Ferdinand & Rusinova, Desislava, 2015. "An alternative view of exchange market pressure episodes in emerging Europe: an analysis using Extreme Value Theory (EVT)," Working Paper Series 1818, European Central Bank.
- Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist, 2015. "Extreme downside risk and financial crises," Bank of England working papers 547, Bank of England.
- Nikolov, Kalin & Stracca, Livio & Derviz, Alexis & Mendicino, Caterina & Moyen, Stéphane & Clerc, Laurent & Suarez, Javier & Vardoulakis, Alexandros P., 2015. "Capital regulation in a macroeconomic model with three layers of default," Working Paper Series 1827, European Central Bank.
- Chiara D'Alpaos & Rubina Canesi, 2015. "Risks Assessment In Real Esate Investments: An AHP Approach," ERES eres2015_98, European Real Estate Society (ERES).
- Gross, Marco & Población García, Francisco Javier, 2015. "A false sense of security in applying handpicked equations for stress test purposes," Working Paper Series 1845, European Central Bank.
- Daniel Wurstbauer & Stephan Lang & Wolfgang Schaefers & Christoph Rothballer, 2015. "Systematic Risk Factors in European Infrastructure Stock Markets," ERES eres2015_43, European Real Estate Society (ERES).
- Guillaume Vuillemey, 2015. "Derivatives Markets: From Bank Risk Management to Financial Stability," Sciences Po publications info:hdl:2441/5vh0dnv2h79, Sciences Po.