Report NEP-RMG-2016-05-08This 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:
- Armen Hovakimian & Edward Kane, & Luc Laeven, 2015. "Tracking Variation in Systemic Risk at US Banks During 1974-2013," Working Papers Series 16, Institute for New Economic Thinking.
- Sergio Rubens Stancato de Souza & Thiago Christiano Silva & Benjamin Miranda Tabak & Solange Maria Guerra, 2016. "Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks," Working Papers Series 426, Central Bank of Brazil, Research Department.
- Joachim Sicking & Thomas Guhr & Rudi Sch\"afer, 2016. "Concurrent Credit Portfolio Losses," Papers 1604.06917, arXiv.org, revised Jan 2017.
- Harris, Richard D F & Stoja, Evarist & Tan, Linzhi, 2016. "The dynamic Black-Litterman approach to asset allocation," Bank of England working papers 596, Bank of England.
- Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
- Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01075648, HAL.
- Paulson, Anna L. & Rosen, Richard J., 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Working Paper Series WP-2016-4, Federal Reserve Bank of Chicago.
- Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
- Wujiang Lou, 2016. "Gap Risk KVA and Repo Pricing: An Economic Capital Approach in the Black-Scholes-Merton Framework," Papers 1604.05406, arXiv.org, revised Oct 2016.
- Murphy, David & Vasios, Michalis & Vause, Nicholas, 2016. "A comparative analysis of tools to limit the procyclicality of initial margin requirements," Bank of England working papers 597, Bank of England.
- Alghalith, Moawia & Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2016. "A General Optimal Investment Model in the Presence of Background Risk," MPRA Paper 70644, University Library of Munich, Germany.
- Keren Shen & Jianfeng Yao & Wai Keung Li, 2016. "On the Surprising Explanatory Power of Higher Realized Moments in Practice," Papers 1604.07969, arXiv.org.
- Uluc, Arzu & Wieladek, Tomasz, 2016. "Capital Requirements, Risk Shifting and the Mortgage Market," CEPR Discussion Papers 11214, C.E.P.R. Discussion Papers.