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Report NEP-RMG-2016-02-29
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:
- Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-14, May.
- Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi, 2015, "Bootstrap for Value at Risk Prediction," MPRA Paper, University Library of Munich, Germany, number 68842.
- David Murphy & Paul Nahai-Williamson, 2014, "Financial Stability Paper 30: Dear Prudence, won’t you come out to play? Approaches to the analysis of CCP default fund adequacy," Bank of England Financial Stability Papers, Bank of England, number 30, Oct.
- Filippo Curti & Marco Migueis, 2016, "Predicting Operational Loss Exposure Using Past Losses," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-2, Feb, DOI: 10.17016/FEDS.2016.002r1.
- David Aikman & Mirta Galesic & Gerd Gigerenzer & Sujit Kapadia & Konstantinos Katsikopoulos & Amit Kothiyal & Emma Murphy & Tobias Neumann, 2014, "Financial Stability Paper No 28: Taking uncertainty seriously - simplicity versus complexity in financial regulation," Bank of England Financial Stability Papers, Bank of England, number 28, May.
- Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2016, "Which eligible assets are compatible with comonotonic capital requirements?," Papers, arXiv.org, number 1602.05477, Feb, revised Jan 2021.
- Oliver Bettis & Simon Dietz & Nick Silver, 2015, "The risk of climate ruin," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 217, Nov.
- Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016, "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 80, DOI: 10.5445/IR/1000051814.
- Aymanns, Christoph & Caccioli, Fabio & Farmer, J. Doyne & Tan, Vincent W.C., 2015, "Taming the Basel leverage cycle," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65089, Jul.
- Zura Kakushadze & Willie Yu, 2016, "Multifactor Risk Models and Heterotic CAPM," Papers, arXiv.org, number 1602.04902, Feb, revised Mar 2016.
- Anatolii A. Puhalskii & Michael Jay Stutzer, 2016, "On minimising a portfolio's shortfall probability," Papers, arXiv.org, number 1602.02192, Feb, revised May 2017.
- Spiros Bougheas & Alan Kirman, 2016, "Systemic risk and the optimal seniority structure of banking liabilities," Gecomplexity Discussion Paper Series, Action IS1104 "The EU in the new complex geography of economic systems: models, tools and policy evaluation", number 201602, Jan, revised Jan 2016.
- Sucarrat, Genaro & Grønneberg, Steffen, 2016, "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper, University Library of Munich, Germany, number 68931, Jan.
- Giovanni Ferri & Doris Neuberger, 2014, "The Banking Regulatory Bubble and How to Get out of It," CERBE Working Papers, CERBE Center for Relationship Banking and Economics, number wpC01, May.
- Uddin, Md Akther, 2015, "Risk Management Practices in Islamic Bank: A Case Study of Islami Bank Bangladesh Limited," MPRA Paper, University Library of Munich, Germany, number 68781, Dec.
- Francisco Ibáñez, 2016, "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," Working Papers Central Bank of Chile, Central Bank of Chile, number 774, Jan.