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Report NEP-RMG-2016-02-23
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:
- Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015, "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers, Deutsche Bundesbank, number 46/2015.
- Paolo Giudici & Laura Parisi, 2016, "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 116, Feb.
- Item repec:ysm:ypfswp:59182 is not listed on IDEAS anymore
- Grinis, Inna, 2015, "Credit risk spillovers, systemic importance and vulnerability in financial networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60954, Jan.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2015, "Can we prove a bank guilty of creating systemic risk? A minority report," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65097, Sep.
- Stavros Stavroyiannis, 2016, "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers, arXiv.org, number 1602.05749, Feb.
- Décamps, Jean Paul & Morellec, Erwan & Villeneuve, Stéphane & Gryglewicz, Sebastian, 2015, "Corporate policies with permanent and temporary shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10420, Feb.
- Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015, "Hawkes processes in finance," Papers, arXiv.org, number 1502.04592, Feb, revised May 2015.
- Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016, "Systemic risk spillovers in the European banking and sovereign network," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 79, DOI: 10.5445/IR/1000051810.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016, "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 55.