Report NEP-RMG-2016-07-16This 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:
- Jinghai Shao & Siming Li & Yong Li, 2016. "Estimation and prediction of credit risk based on rating transition systems," Papers 1607.00448, arXiv.org, revised Mar 2018.
- Bennet Berger & Pia Hüttl & Silvia Merler, 2016. "Total assets versus risk weighted assets: does it matter for MREL?," Policy Contributions 15646, Bruegel.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle, 2016. "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Papers 1607.02319, arXiv.org, revised Sep 2016.
- Masahiko Egami & Rusudan Kevkhishvili, 2016. "An Analysis of Simultaneous Company Defaults Using a Shot Noise Process," Discussion papers e-16-001, Graduate School of Economics , Kyoto University.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "Global credit risk: world country and industry factors," Working Paper Series 1922, European Central Bank.
- Camba-Méndez, Gonzalo & Serwa, Dobromil & Kostrzewa, Konrad & Marszal, Anna, 2016. "Pricing sovereign credit risk of an emerging market," Working Paper Series 1924, European Central Bank.
- Alexander Karminsky, 2016. "Rating models: emerging market distinctions," Papers 1607.02422, arXiv.org.
- Justin Sirignano & Apaar Sadhwani & Kay Giesecke, 2016. "Deep Learning for Mortgage Risk," Papers 1607.02470, arXiv.org, revised Mar 2018.
- Florence Crick & Katie Jenkins & Swenja Surminski, 2016. "Strengthening insurance partnerships in the face of climate change – insights from an agent-based model of flood insurance in the UK," GRI Working Papers 241, Grantham Research Institute on Climate Change and the Environment.
- Morgan, Peter & Regis, Paulo José & Salike, Nimesh, 2015. "Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia," RIEI Working Papers 2015-03, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
- Clarke,Daniel Jonathan & Wren-Lewis,Liam, 2016. "Solving commitment problems in disaster risk finance," Policy Research Working Paper Series 7720, The World Bank.