Report NEP-RMG-2015-10-10

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
• F. Dilvin Ta?k?n & Ufuk Tutan, 2015. "Use of Derivatives and Financial Stability in Turkish Banking Sector," Proceedings of International Academic Conferences 2805197, International Institute of Social and Economic Sciences.
• Halis Sak & .Ismail Bac{s}ou{g}lu, 2015. "Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk," Papers 1510.01593, arXiv.org.
• Christoph Basten & Catherine Koch, 2015. "Higher bank capital requirements and mortgage pricing: evidence from the Countercyclical Capital Buffer (CCB)," BIS Working Papers 511, Bank for International Settlements.
• Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2015. "Conditional risk measures in a bipartite market structure," Papers 1510.00616, arXiv.org.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
• Thomas Kruse & Judith C. Schneider & Nikolaus Schweizer, 2015. "What's in a ball? Constructing and characterizing uncertainty sets," Papers 1510.01675, arXiv.org.
• Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2016. "Dynamics of multivariate default system in random environment," Working Papers hal-01205753, HAL.
• De Bruyckere, Valerie, 2015. "Systemic risk rankings and network centrality in the European banking sector," Working Paper Series 1848, European Central Bank.
• Badi H. Baltagi & David Fielding & Johan Rewilak & Panicos Demetriades & Peter Rousseau & Robert Lensink & ‪Svetlana Andrianova‬, 2015. "A New International Database on Financial Fragility," Working Papers 534, Economic Research Southern Africa.
• Bertsch, Christoph & Mariathasan, Mike, 2015. "Optimal Bank Capitalization in Crowded Markets," Working Paper Series 312, Sveriges Riksbank (Central Bank of Sweden), revised 01 Dec 2017.
• Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
• ITO Takatoshi & KOIBUCHI Satoshi & SATO Kiyotaka & SHIMIZU Junko, 2015. "Exchange Risk Management and the Choice of Invoice Currency: 2014 Questionnaire Survey of Japanese Overseas Subsidiaries (Japanese)," Discussion Papers (Japanese) 15054, Research Institute of Economy, Trade and Industry (RIETI).
• Nadezda Sinenko & Olga Lielkalne, 2015. "Cobweb diagram as a tool for assesing changes in the most important financial stability risks," Discussion Papers 2015/01, Latvijas Banka.
• Matthew Ginley, 2015. "Shortfall from Maximum Convexity," Papers 1510.00941, arXiv.org.