Printed from https://ideas.repec.org/n/nep-rmg/2016-03-06.html
Report NEP-RMG-2016-03-06
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:
- Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016, "Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16006, Jan.
- Michel Dacorogna & Laila Elbahtouri & Marie Kratz, 2015, "Explicit diversification benefit for dependent risks," Working Papers, HAL, number hal-01256869, Dec.
- Chang, C-L. & McAleer, M.J., 2014, "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-02, Dec.
- Item repec:ehl:lserod:65096 is not listed on IDEAS anymore
- David Murphy & Michalis Vasios & Nick Vause, 2014, "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers, Bank of England, number 29, May.
- Basten, Christhoph & Koch, Cathérine, 2015, "Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Countercyclical Capital Buffer (CCB)," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 26, Jun.
- Sebastian Poledna & Olaf Bochmann & Stefan Thurner, 2016, "Basel III capital surcharges for G-SIBs fail to control systemic risk and can cause pro-cyclical side effects," Papers, arXiv.org, number 1602.03505, Feb.
- Dominique Guegan & Bertrand K. Hassani, 2016, "More Accurate Measurement for Enhanced Controls: VaR vs ES?," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16015, Feb.
- Ilknur Zer, 2015, "Information Disclosures, Default Risk, and Bank Value," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-104, Nov, DOI: 10.17016/FEDS.2015.104.
- Kevorchian, Cristian & Gavrilescu, Camelia, 2015, "Use of maximum entropy in estimating production risks in crop farms," MPRA Paper, University Library of Munich, Germany, number 69377, Nov.
- Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015, "Forecasting with VAR Models: Fat Tails and Stochastic Volatility," CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL, number 2, Feb.
- Item repec:ysm:ypfswp:59181 is not listed on IDEAS anymore
- Vassiliki Bamiatzi & Georgios Efthyvoulou & Liza Jabbour, 2016, "Foreign vs Domestic Acquisitions on Financial Risk Reduction," Working Papers, The University of Sheffield, Department of Economics, number 2016003, Nov.
- Item repec:rnp:ppaper:knrpc2 is not listed on IDEAS anymore
- Tomer Siedner, 2015, "Risk of Monetary Gambles: An Axiomatic Approach," Discussion Paper Series, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem, number dp682, Apr.