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Report NEP-RMG-2016-06-25
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:
- Hałaj, Grzegorz, 2016, "Dynamic balance sheet model with liquidity risk," Working Paper Series, European Central Bank, number 1896, Apr.
- Fabiana Gómez & Jorge Ponce, 2015, "Regulation and Bankers' Incentives," Documentos de trabajo, Banco Central del Uruguay, number 2015005.
- Nielsen, Caren Yinxia, 2016, "Banks' Credit-Portfolio Choices and Risk-Based Capital Regulation," Working Papers, Lund University, Department of Economics, number 2016:9, Jun.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2015, "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper, University Library of Munich, Germany, number 72082, Oct.
- Alexander N. Bogin & Nataliya Polkovnichenko & William M. Doerner, 2015, "Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads," FHFA Staff Working Papers, Federal Housing Finance Agency, number 15-03, Jul, DOI: 10.3905/jfi.2016.26.2.005.
- Byung-Geun Choi & Napat Rujeerapaiboon & Ruiwei Jiang, 2016, "Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance," Papers, arXiv.org, number 1606.06578, Jun, revised Sep 2016.
- Santiago Gamba-Santamaria & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo-Velandia & Jorge Luis Hurtado-Guarin, 2016, "Stock Market Volatility Spillovers: Evidence for Latin America," Borradores de Economia, Banco de la Republica de Colombia, number 943, May, DOI: 10.32468/be.943.
- Nicol'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora, 2016, "The multiplex dependency structure of financial markets," Papers, arXiv.org, number 1606.04872, Jun.
- Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015, "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper, University Library of Munich, Germany, number 72084, Sep.
- Alexander N. Bogin & William M. Doerner, 2013, "Generating Historically-Based Stress Scenarios Using Parsimonious Factorization," FHFA Staff Working Papers, Federal Housing Finance Agency, number 13-02, Oct, revised Aug 2014, DOI: 10.1108/JRF-03-2014-0036.
- Mihaly Ormos & Dusan Timotity, 2016, "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers, arXiv.org, number 1606.03597, Jun.
- Gilles Pag`es & Olivier Pironneau & Guillaume Sall, 2016, "Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options," Papers, arXiv.org, number 1606.06143, Jun.