Report NEP-RMG-2016-06-25This 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:
- Hałaj, Grzegorz, 2016. "Dynamic balance sheet model with liquidity risk," Working Paper Series 1896, European Central Bank.
- Fabiana Gómez & Jorge Ponce, 2015. "Regulation and Bankers' Incentives," Documentos de trabajo 2015005, Banco Central del Uruguay.
- Nielsen, Caren Yinxia, 2016. "Banks' Credit-Portfolio Choices and Risk-Based Capital Regulation," Working Papers 2016:9, Lund University, Department of Economics.
- 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 72082, University Library of Munich, Germany.
- Alexander N. Bogin & Nataliya Polkovnichenko & William M. Doerner, 2015. "Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads," FHFA Staff Working Papers 15-03, Federal Housing Finance Agency.
- Byung-Geun Choi & Napat Rujeerapaiboon & Ruiwei Jiang, 2016. "Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance," Papers 1606.06578, arXiv.org, 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 943, Banco de la Republica de Colombia.
- Nicol'o Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora, 2016. "The multiplex dependency structure of financial markets," Papers 1606.04872, arXiv.org.
- Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
- Alexander N. Bogin & William M. Doerner, 2013. "Generating Historically-Based Stress Scenarios Using Parsimonious Factorization," FHFA Staff Working Papers 13-02, Federal Housing Finance Agency, revised Aug 2014.
- Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
- Gilles Pag`es & Olivier Pironneau & Guillaume Sall, 2016. "Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options," Papers 1606.06143, arXiv.org.