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Report NEP-RMG-2015-12-20
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:
- CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部, 2015, "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-16, Dec.
- Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015, "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-32, Nov.
- Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli, 2015, "Distress propagation in complex networks: the case of non-linear DebtRank," Papers, arXiv.org, number 1512.04460, Dec, revised Sep 2016.
- Frank Gehmlich & Thorsten Schmidt, 2015, "A generalized intensity based framework for single-name credit risk," Papers, arXiv.org, number 1512.03896, Dec.
- Georges Dionne & Sara Malekan, 2015, "Optimal form of retention for securitized loans under moral hazard," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 15-4, Nov.
- Michael Wosser, 2015, "The Determinants of Systemic Banking Crises A Regulatory Perspective," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n265-15.pdf.
- Christopher W. Miller & Insoon Yang, 2015, "Optimal Control of Conditional Value-at-Risk in Continuous Time," Papers, arXiv.org, number 1512.05015, Dec, revised Jan 2017.
- Libin Yang & William Rea & and Alethea Rea, 2015, "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Papers, arXiv.org, number 1512.03537, Dec.