Report NEP-RMG-2016-02-04

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Bachmair,Fritz Florian, 2016. "Contingent liabilities risk management : a credit risk analysis framework for sovereign guarantees and on-lending?country experiences from Colombia, Indonesia, Sweden, and Turkey," Policy Research Working Paper Series 7538, The World Bank.
• Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
• Carole HARITCHABALET & Frank STROBEL & Kévin SPINASSOU & Laetitia LEPETIT, 2016. "Bank capital regulation: are local or central regulators better?," Working Papers 2015-2016_6, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Feb 2017.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Micha{l} Barski, 2016. "Quantile hedging on markets with proportional transaction costs," Papers 1601.03380, arXiv.org.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Business School.
• Gideon Boako & Paul Alagidede, 2015. "Global commodities and African stocks: insights for hedging and diversification strategies," Working Papers 569, Economic Research Southern Africa.
• Item repec:spo:wpmain:info:hdl:2441/5bnglqth5987gaq6dhju3psjn3 is not listed on IDEAS anymore

• Simon Dubecq & Benoit Mojon & Xavier Ragot, 2015. "Risk Shifting with Fuzzy Capital Constraints," SciencePo Working papers Main hal-03473718, HAL.
• Yumiharu Nakano, 2016. "On a law of large numbers for insurance risks," Papers 1601.03171, arXiv.org.
• Thilo A. Schmitt & Rudi Schafer & Thomas Guhr, 2016. "Credit risk: Taking fluctuating asset correlations into account," Papers 1601.03015, arXiv.org.
• Alberto BURCHI & Francesca PIERRI, 2015. "Survival Models for Credit Risk Estimation in the context of SME," Working papers of the Department of Economics - University of Perugia (IT) 18/2015, Università di Perugia, Dipartimento Economia.
• Dömötör, Barbara & Váradi, Kata, 2016. "Stress events in the Hungarian stock market," Corvinus Economics Working Papers (CEWP) 2016/03, Corvinus University of Budapest.
• Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
• Christian Castro & Ángel Estrada & Jorge Martínez, 2016. "The countercyclical capital buffer in spain: an analysis of key guiding indicators," Working Papers 1601, Banco de España.
• Imke Redeker & Ralf Wunderlich, 2016. "Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading," Papers 1602.00570, arXiv.org, revised Aug 2017.
• Emmanouil Platanakis & Charles Sutcliffe, 2015. "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance icma-dp2015-05, Henley Business School, University of Reading.