Report NEP-RMG-2015-11-15This 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:
- Vékás, Péter, 2015. "An asymptotic test for the Conditional Value-at-Risk," Corvinus Economics Working Papers (CEWP) 2015/19, Corvinus University of Budapest.
- David E. Allen & Michael McAleer & Robert J. Powell & Abbay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 15-122/III, Tinbergen Institute.
- Polanski, Arnold & Stoja, Evarist, 2015. "Extreme risk interdependence," Bank of England working papers 563, Bank of England.
- Ivan Granito & Paolo De Angelis, 2015. "Capital allocation and risk appetite under Solvency II framework," Papers 1511.02934, arXiv.org.
- Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
- Mare, Davide Salvatore & Moreira, Fernando & Rossi, Roberto, 2015. "Nonstationary Z-score measures," MPRA Paper 67840, University Library of Munich, Germany.
- Congressional Budget Office, 2015. "Federal Reinsurance for Terrorism Risk: An Update," Reports 49866, Congressional Budget Office.
- Elisa Cavezzali & Gloria Gardenal, 2015. "Risk governance and performance of the Italian banks: an empirical analysis," Working Papers 8, Department of Management, Università Ca' Foscari Venezia.
- Tóth, József, 2015. "Rules of remuneration of material risk takers and their implementation in the European Banks," MPRA Paper 67758, University Library of Munich, Germany.
- Salleo, Carmelo & Homar, Timotej & Kick, Heinrich, 2015. "What drives forbearance - evidence from the ECB Comprehensive Assessment," Working Paper Series 1860, European Central Bank.
- Aloisio Araujo & Jean-Marc Bonnisseau & Alain Chateauneuf & Rodrigo Novinski, 2015. "Optimal Risk Sharing with Optimistic and Pessimistic Decision Makers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01224491, HAL.
- Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
- Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
- Laps, Jochen, 2015. "Fully Funded Social Security Pensions, Lifetime Risk and Income," Working Papers 0603, University of Heidelberg, Department of Economics.
- Dacorogna, Michel & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers WP1517, ESSEC Research Center, ESSEC Business School.