Report NEP-RMG-2016-09-04This 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:
- Benjamin Lorent, 2016. "Treatment of Market Risks under Solvency II and its Market Implications," ULB Institutional Repository 2013/231942, ULB -- Universite Libre de Bruxelles.
- Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos, 2014. "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," MPRA Paper 73399, University Library of Munich, Germany, revised Aug 2016.
- Emil Siriwardane & Bernard Herskovic & Andrea Eisfeldt, 2016. "Risk Reallocation in OTC Derivatives Networks," 2016 Meeting Papers 538, Society for Economic Dynamics.
- Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014. "A Composite Indicator of Systemic Stress (CISS) for Colombia," Temas de Estabilidad Financiera 80, Banco de la Republica de Colombia.
- Curti, Filippo & Ergen, Ibrahim & Le, Minh & Migueis, Marco & Stewart, Rob T., 2016. "Benchmarking Operational Risk Models," Finance and Economics Discussion Series 2016-070, Board of Governors of the Federal Reserve System (US).
- Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
- Ferreira, Miguel & Massa, Massimo & Matos, Pedro Pinto, 2016. "Investor-Stock Decoupling in Mutual Funds," CEPR Discussion Papers 11476, C.E.P.R. Discussion Papers.
- Jacobs, Heiko & Regele, Tobias & Weber, Martin, 2016. "Expected skewness and momentum," CEPR Discussion Papers 11455, C.E.P.R. Discussion Papers.