Report NEP-RMG-2016-04-16This 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.
The following items were announced in this report:
- Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," EconomiX Working Papers 2016-15, University of Paris Nanterre, EconomiX.
- Olivier Bruno & Alexandra Girod, 2013. "Procyclicality and Bank Portfolio Risk Level Under A Constant Leverage Ratio," Working Papers halshs-01295573, HAL.
- Bikramjit Das & Vicky Fasen, 2016. "Risk contagion under regular variation and asymptotic tail independence," Papers 1603.09406, arXiv.org, revised Apr 2017.
- Denise Scheld & Johannes Paha & Nicolas Fandrey, 2015. "A risk governance approach to managing antitrust risks in the banking industry," MAGKS Papers on Economics 201535, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Gazi I. Kara & S. Mehmet Ozsoy, 2016. "Bank regulation under fire sale externalities," Finance and Economics Discussion Series 2016-026, Board of Governors of the Federal Reserve System (U.S.).
- Suarez, Ronny, 2016. "Large-cap versus small-cap, a downside risk comparison," MPRA Paper 70547, University Library of Munich, Germany.
- Donaldson, Jason & Micheler, Eva, 2016. "Resaleable debt and systemic risk," LSE Research Online Documents on Economics 66042, London School of Economics and Political Science, LSE Library.
- Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
- Enzo Busseti & Ernest K. Ryu & Stephen Boyd, 2016. "Risk-Constrained Kelly Gambling," Papers 1603.06183, arXiv.org.
- Lux, Thomas, 2016. "Network effects and systemic risk in the banking sector," FinMaP-Working Papers 62, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.