Report NEP-RMG-2015-10-25

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:

• Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
• Eva Liebmann & Joe Peek, 2015. "Global standards for liquidity regulation," Current Policy Perspectives 15-3, Federal Reserve Bank of Boston.
• Jakša Krišto & Alen Stojanović & Hrvoje Filipović, 2015. "Systemic risk of UCITS investment funds and financial market stability tested using MRS model," EFZG Working Papers Series 1508, Faculty of Economics and Business, University of Zagreb.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015. "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers 10889, C.E.P.R. Discussion Papers.
• Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
• Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
• Laurent Clerc & Alexis Derviz & Caterina Mendicino & Stéphane Moyen & Kalin Nikolov & Livio Stracca & Javier Suarez & Alexandros P. Vardoulakis, 2014. "Capital Regulation in a Macroeconomic Model with Three Layers of Default," Working Papers wp2014_1408, CEMFI.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
• Morgan, Peter & Zhang, Yan, 2015. "ADBI WP543: Mortgage Lending and Financial Stability in Asia," ADBI Working Papers 543, Asian Development Bank Institute.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015. "Ripple effects from industry defaults," CEPR Discussion Papers 10891, C.E.P.R. Discussion Papers.
• Arash Fahim & Lingjiong Zhu, 2015. "Optimal Investment in a Dual Risk Model," Papers 1510.04924, arXiv.org, revised Feb 2023.
• Dacorogna, Michel M & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," MPRA Paper 67402, University Library of Munich, Germany.
• Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
• Spiros Bougheas & Alan Kirman, 2015. "Bank Insolvencies, Priority Claims and Systemic Risk," Discussion Papers 2015/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
• Thanassoulis, John & Tanaka, Misa, 2015. "Bankers' pay and excessive risk," Bank of England working papers 558, Bank of England.
• Wolff, Christian & Papanikolaou, Nikolaos I., 2015. "Leverage and risk in US commercial banking in the light of the current financial crisis," CEPR Discussion Papers 10890, C.E.P.R. Discussion Papers.
• Or Shachar & Jennifer La'O & Anna Costello & Nina Boyarchenko, 2015. "Credit Risk and Interdealer Networks," 2015 Meeting Papers 1048, Society for Economic Dynamics.
• James Chapman & H. Evren Damar, 2015. "Shock Transmission Through International Banks: Canada," Technical Reports 105, Bank of Canada.
• Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
• Shaofeng Xu, 2015. "On the Welfare Cost of Rare Housing Disasters," Staff Working Papers 15-26, Bank of Canada.