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Report NEP-RMG-2015-11-21
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:
- Gerlach, Richard & Wang, Chao, 2015, "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-07, Sep.
- Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem, 2015, "Fat tails and copulas: limits of diversification revisited," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-06, Sep.
- Toni Beutler & Robert Bichsel & Adrian Bruhin & Jayson Danton, 2015, "The Impact of Interest Rate Risk on Bank Lending," Working Papers, Swiss National Bank, Study Center Gerzensee, number 15.05, Nov.
- Jamie Fairbrother & Amanda Turner & Stein Wallace, 2015, "Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables," Papers, arXiv.org, number 1511.04935, Nov, revised Apr 2017.
- Renata Karkowska, 2015, "WHAT KIND OF SYSTEMIC RISKS DO WE FACE IN THE EUROPEAN BANKING SECTOR? THE APPROACH OF CoVaR MEASURE," Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management, number 12015, Feb.
- Sofiene El Aoud & Frédéric Abergel, 2014, "Calibration of a stock's beta using options prices," Post-Print, HAL, number hal-01006405, Mar.
- Pierre-Emmanuel Darpeix, 2015, "Systemic risk and insurance," PSE Working Papers, HAL, number halshs-01227969, Nov.
- Paolo Giudici & Laura Parisi, 2015, "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 110, Nov.
- Pierre Chaigneau & Louis Eeckhoudt, 2015, "Downside Risk Neutral Probabilities," Cahiers de recherche, CIRPEE, number 1521.
- Hill, Jonathan B. & Prokhorov, Artem, 2015, "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-03, Sep.
- Gerlach, R & Sutton, M & Vasnev, A, 2015, "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-02, Apr.
- Thor Pajhede, 2015, "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers, University of Copenhagen. Department of Economics, number 15-18, Nov.