Report NEP-RMG-2015-12-08This 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:
- Rama Cont, 2015. "The end of the waterfall: default resources of central counterparties," Working Paper 2015/16, Norges Bank.
- Mirta González & María Cecilia Pérez, 2015. "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series 201570, Central Bank of Argentina, Economic Research Department.
- Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Stefan Rass, 2015. "On Game-Theoretic Risk Management (Part Two) - Algorithms to Compute Nash-Equilibria in Games with Distributions as Payoffs," Papers 1511.08591, arXiv.org.
- Item repec:hal:wpaper:hal-01232683 is not listed on IDEAS anymore
- Mariana Vila Nova & António Melo Cerqueira & Elísio Brandão, 2015. "Hedging with Derivatives and Firm Value," FEP Working Papers 568, Universidade do Porto, Faculdade de Economia do Porto.
- Walid Mensi & Shawkat Hammoudeh & Ahmet Sensoy & Seong-Min Yoon, 2015. "Dynamic Correlations and Portfolio Diversification between Islamic and Conventional Sector Equity Indexes," Working Paper 31, Research and Business Development Department, Borsa Istanbul.
- Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
- Kenichiro Shiraya & Akihiko Takahashi, 2015. "Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")," CARF F-Series CARF-F-375, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
- Mark Matthews & Tom Kompas, 2015. "Coping with Nasty Surprises: Improving Risk Management in the Public Sector Using Simplified Bayesian Methods," Asia and the Pacific Policy Studies 201536, Crawford School of Public Policy, The Australian National University.