Printed from https://ideas.repec.org/n/nep-rmg/2016-03-17.html
Report NEP-RMG-2016-03-17
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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01277880, Jan.
- Zura Kakushadze & Willie Yu, 2016, "Statistical Risk Models," Papers, arXiv.org, number 1602.08070, Feb, revised Jan 2017.
- Leiss, Matthias & Nax, Heinrich H., 2015, "Option-implied objective measures of market risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65446, Nov.
- Paola Cerchiello & Paolo Giudici & Giancarlo Nicola, 2016, "Big data models of bank risk contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 117, Feb.
- Dilip Kumar, 2016, "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205528, Mar.
- Sauer, Stephan & Coppens, François & Mayer, Manuel & Millischer, Laurent & Resch, Florian & Schulze, Klaas, 2016, "Advances in multivariate back-testing for credit risk underestimation," Working Paper Series, European Central Bank, number 1885, Feb.
- Item repec:cte:idrepe:id-16-01 is not listed on IDEAS anymore
- Delphine Lautier & Julien Ling & Franck Raynaud, 2014, "Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?," Post-Print, HAL, number hal-01275562, May.
- Santiago Gamba Santamar�a & Oscar Fernando Jaul�n M�ndez & Luis Fernando Melo Velandia & Carlos Andr�s Quicaz�n Moreno, 2016, "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia, Banco de la Republica, number 14263, Feb.
- Item repec:imf:imfwpa:16/28 is not listed on IDEAS anymore
- Tariq Aziz & Valeed Ahmad Ansari, 2016, "Idiosyncratic risk and stock returns: a quantile regression approach," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205769, Mar.
- Item repec:imf:imfwpa:16/34 is not listed on IDEAS anymore
- Jacopo Corbetta & Ilaria Peri, 2016, "Backtesting Lambda Value at Risk," Papers, arXiv.org, number 1602.07599, Feb, revised Jun 2017.
- Justine Pedrono & Aurélien Violon, 2016, "Banks' Capital Structure and US Dollar Diversification of Assets: Does Reduction in Systemic Risk Offset Agency Costs?," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1610, Jan.
- Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2016, "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia, Banco de la Republica de Colombia, number 927, Feb, DOI: 10.32468/be.927.
- Frédéric Teulon & Khaled Guesmi & Salma Fattoum, 2014, "Is there a difference between domestic and foreign risk premium? The case of China Stock Market," Working Papers, Department of Research, Ipag Business School, number 2014-89, Jan.
- Item repec:imf:imfwpa:15/249 is not listed on IDEAS anymore
- Item repec:hum:wpaper:sfb649dp2016-006 is not listed on IDEAS anymore
- Andr'es Riquelme & Marcela Parada, 2016, "The Value of A Statistical Life in Absence of Panel Data: What can we do?," Papers, arXiv.org, number 1603.00568, Mar.
- Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016, "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers, Institute of Economic Research, number 4/2016, Feb, revised Feb 2016.