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Report NEP-RMG-2016-07-09
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:
- Giulio Mignola & Roberto Ugoccioni & Eric Cope, 2016, "Comments on the BCBS proposal for a New Standardized Approach for Operational Risk," Papers, arXiv.org, number 1607.00756, Jul.
- Sinha, Pankaj & Sharma, Sakshi, 2016, "Derivative use and its impact on Systematic Risk of Indian Banks: Evidence using Tobit model," MPRA Paper, University Library of Munich, Germany, number 72251, Mar.
- Tófoli, Paula Virgínia & Ziegelmann, Flávio Augusto & Silva Filho, Osvaldo Candido & Pereira, Pedro L. Valls, 2016, "Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 424, Jun.
- Georges Dionne & Jean-Pierre Gueyie & Mohamed Mnasri, 2016, "Dynamic Corporate Risk Management: Motivations and Real Implications," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 16-2, Jul.
- Tiziano Squartini & Assaf Almog & Guido Caldarelli & Iman van Lelyveld & Diego Garlaschelli & Giulio Cimini, 2016, "Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks," Papers, arXiv.org, number 1606.07684, Jun, revised Sep 2017.
- Geert Dhaene & Jianbin Wu, 2016, "Mixed-frequency multivariate GARCH," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 544330, Jun.
- Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016, "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16046, May.
- Seyed Amir Hejazi & Kenneth R. Jackson, 2016, "A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities," Papers, arXiv.org, number 1606.07831, Jun.
- lopez, claude & Saeidinezhad, Elham, 2016, "Dodd-Frank: Washington, We Have a Problem," MPRA Paper, University Library of Munich, Germany, number 72236, Jun.
- Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-12, Jun.
- Lopez, Claude & Markwardt, Donald & Savard, Keith, 2016, "The Asset Management Industry and Systemic Risk: Is There a Connection?," MPRA Paper, University Library of Munich, Germany, number 72266, Jun.
- Geert Dhaene & Piet Sercu & Jianbin Wu, 2016, "The risk-return tradeoff in international stock markets: one-step multivariate GARCH-M estimation with many assets," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven, number 544332, Jun.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016, "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1613, Jun.
- Curto, José Dias & Quinaz, Pedro Miguel Mateus Dias, 2016, "Prudential regulation in an artificial banking system," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-27.