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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. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, University Library of Munich, Germany, number 67195, Oct.
- Eva Liebmann & Joe Peek, 2015, "Global standards for liquidity regulation," Current Policy Perspectives, Federal Reserve Bank of Boston, number 15-3, Jul.
- 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, Faculty of Economics and Business, University of Zagreb, number 1508, Oct.
- Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015, "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10889, Oct.
- Fabio Caccioli & Imre Kondor & G'abor Papp, 2015, "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers, arXiv.org, number 1510.04943, Oct.
- Georges Hübner & Thomas Lejeune, 2015, "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research, National Bank of Belgium, number 289, Oct.
- 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, CEMFI, number wp2014_1408, Dec.
- Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015, "Downside Variance Risk Premium," Staff Working Papers, Bank of Canada, number 15-36, DOI: 10.34989/swp-2015-36.
- Peter Morgan & Yan Zhang, 2015, "ADBI WP543: Mortgage Lending and Financial Stability in Asia," ADBI Working Papers, Asian Development Bank Institute, number 543, Oct.
- Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015, "Ripple effects from industry defaults," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10891, Oct.
- Arash Fahim & Lingjiong Zhu, 2015, "Optimal Investment in a Dual Risk Model," Papers, arXiv.org, number 1510.04924, Oct, revised Feb 2023.
- Dacorogna, Michel M & Kratz, Marie, 2015, "Living in a Stochastic World and Managing Complex Risks," MPRA Paper, University Library of Munich, Germany, number 67402, Jul.
- Zachary Feinstein & Birgit Rudloff, 2015, "A Supermartingale Relation for Multivariate Risk Measures," Papers, arXiv.org, number 1510.05561, Oct, revised Jan 2018.
- Spiros Bougheas & Alan Kirman, 2015, "Bank Insolvencies, Priority Claims and Systemic Risk," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2015/08.
- John Thanassoulis & Misa Tanaka, 2015, "Bankers' pay and excessive risk," Bank of England working papers, Bank of England, number 558, Oct.
- Wolff, Christian & Papanikolaou, Nikolaos I., 2015, "Leverage and risk in US commercial banking in the light of the current financial crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10890, Oct.
- Or Shachar & Jennifer La'O & Anna Costello & Nina Boyarchenko, 2015, "Credit Risk and Interdealer Networks," 2015 Meeting Papers, Society for Economic Dynamics, number 1048.
- James Chapman & H. Evren Damar, 2015, "Shock Transmission Through International Banks: Canada," Technical Reports, Bank of Canada, number 105, DOI: 10.34989/tr-105.
- Laurent Barras & Aytek Malkhozov, 2015, "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers, Bank for International Settlements, number 521, Oct.
- Shaofeng Xu, 2015, "On the Welfare Cost of Rare Housing Disasters," Staff Working Papers, Bank of Canada, number 15-26, DOI: 10.34989/swp-2015-26.