Printed from https://ideas.repec.org/n/nep-rmg/2016-08-07.html
Report NEP-RMG-2016-08-07
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:
- Héctor Pérez Saiz & Gabriel Xerri, 2016, "Credit Risk and Collateral Demand in a Retail Payment System," Discussion Papers, Bank of Canada, number 16-16, DOI: 10.34989/sdp-2016-16.
- Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016, "Efficient exposure computation by risk factor decomposition," Papers, arXiv.org, number 1608.01197, Aug, revised Feb 2018.
- Fei Fang & Yiwei Sun & Konstantinos Spiliopoulos, 2016, "The effect of heterogeneity on flocking behavior and systemic risk," Papers, arXiv.org, number 1607.08287, Jul, revised Jun 2017.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.
- Ioannis Asimakopoulos & Panagiotis K. Avramidis & Dimitris Malliaropulos & Nickolaos G. Travlos, 2016, "Moral hazard and strategic default: evidence from Greek corporate loans," Working Papers, Bank of Greece, number 211, Jul.
- Quynh Anh VO, 2015, "Liquidity Management in Banking: What is the Role of Leverage?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-51, Oct.
- Damien Ackerer & Damir Filipović, 2016, "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-34, May, revised Jun 2016.
- Cañón Salazar Carlos Iván & Gallón Santiago & Olivar Santiago, 2016, "Functional Systemic Risk, Complementarities and Early Warnings," Working Papers, Banco de México, number 2016-12, Jul.
- Andrea M. Buffa & Suleyman Basak, 2016, "A Theory of Operational Risk," 2016 Meeting Papers, Society for Economic Dynamics, number 352.
- Mathieu Cambou & Damir Filipović, 2016, "Replicating Portfolio Approach to Capital Calculation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-25, May.
- Lubberink, Martien & Renders, Annelies, 2016, "Are banks’ below-par own debt repurchases a cause for prudential concern?," MPRA Paper, University Library of Munich, Germany, number 72814, Jun.
- Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016, "Large dynamic covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 231, Jul, revised Apr 2017.
- Cakir, Murat, 2016, "A Conceptual Design of “What and How Should a Proper Macro-Prudential Policy Framework Be?” A Globalistic Approach to Systemic Risk and Procuring the Data Needed," MPRA Paper, University Library of Munich, Germany, number 72776, Jul.
- Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016, "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers, Bank of Canada, number 16-35, DOI: 10.34989/swp-2017-35.
- Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre, 2016, "Understanding the sources of macroeconomic uncertainty," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1531, May, revised Dec 2018.