Report NEP-RMG-2016-05-21

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2016, "Measuring expected time to default under stress conditions for corporate loans," NBP Working Papers, Narodowy Bank Polski, number 237.
• Alessandro Spelta, 2016, "A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def036, Jan.
• Fabiana Gómez & Jorge Ponce, 2015, "Regulation and Bankers’ Incentives," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0915, Nov.
• Mazin A. M. Al Janabi, 2016, "Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Commodities Portfolios," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3605760, May.
• Khizar Qureshi, 2016, "Value-at-Risk: The Effect of Autoregression in a Quantile Process," Papers, arXiv.org, number 1605.04940, Mar.
• Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016, "A robust confidence interval of historical Value-at-Risk for small sample," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16034, Apr.
• R Herrera & Adam Clements, 2015, "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series, National Centre for Econometric Research, number 104, May.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016, "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-025/III, Apr.
• Lorenzo Sasso, 2016, "Bank Capital Structure and Financial Innovation: Antagonists or Two Sides of the Same Coin?," HSE Working papers, National Research University Higher School of Economics, number WP BRP 66/LAW/2016.
• Rose,Adam, 2016, "Capturing the co-benefits of disaster risk management on the private sector side," Policy Research Working Paper Series, The World Bank, number 7634, Apr.
• Georgios Bampinas & Theodore Panagiotidis, 2016, "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series, Rimini Centre for Economic Analysis, number 16-11, Apr.
• Koji Asano, 2016, "Managerial Reputation, Risk-Taking, and Imperfect Capital Markets," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 16-12, May.
• Leoni Eleni Oikonomikou, 2016, "Forecasting the Market Risk Premium with Artificial Neural Networks," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 202, Apr.
• Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016, "Credit risk interconnectedness: What does the market really know?," Discussion Papers, Deutsche Bundesbank, number 09/2016.
• Nakmai, Siwat, 2016, "Foreign exchange risk premia: from traditional to state-space analyses," MPRA Paper, University Library of Munich, Germany, number 71237, Apr.
• Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016, "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers, arXiv.org, number 1604.08824, Apr.
• Surminski, Swenja & Eldridge, Jillian, 2015, "Flood insurance in England: an assessment of the current and newly proposed insurance scheme in the context of rising flood risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 66256, Jan.
• TOBBACK, Ellen & MOEYERSOMS, Julie & STANKOVA, Marija & MARTENS, David, 2016, "Bankruptcy prediction for SMEs using relational data," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2016004, Apr.
• Maarten van Oordt & Chen Zhou, 2016, "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers, Bank of Canada, number 16-22, DOI: 10.34989/swp-2017-22.
• Unger, Robert, 2016, "Traditional banks, shadow banks and the US credit boom: Credit origination versus financing," Discussion Papers, Deutsche Bundesbank, number 11/2016.
• Ceylan, Özcan, 2016, "Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation," MPRA Paper, University Library of Munich, Germany, number 71320, May.
• Olivier Gu'eant, 2016, "Optimal market making," Papers, arXiv.org, number 1605.01862, May, revised May 2017.
• Oliver Enrique Pardo Reinoso, 2015, "A Note on The Evolution of Preferences," Icesi Economics Working Papers, Universidad Icesi, number 14568, Sep.

Report NEP-RMG-2016-05-21

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: