Report NEP-RMG-2016-10-23

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:

• Gambacorta, Leonardo & Karmakar, Sudipto, 2016, "Leverage and Risk Weighted Capital Requirements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11567, Oct.
• Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016, "Capturing the intrinsic uncertainty of the VaR: Spectrum representation of a saddlepoint approximation for an estimator of the VaR," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16034r, Apr, revised Jul 2016.
• Ion Lapteacru, 2016, "On the consistency of the Z-score to measure the bank risk," Working Papers, HAL, number hal-01301846, Apr.
• Pierluigi Bologna & Anatoli Segura, 2016, "Integrating stress tests within the Basel III capital framework: a macroprudentially coherent approach," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 360, Oct.
• Janda, Karel & Kravtsov, Oleg, 2016, "Interdependencies between Leverage and Capital Ratios in the Central and Eastern European Banks," MPRA Paper, University Library of Munich, Germany, number 74560, Oct.
• Item repec:hal:wpaper:hal-01299561 is not listed on IDEAS anymore

• I. Argimon & M. Dietsch & A. Estrada, 2016, "Prudential filters, portfolio composition and capital ratios in European banks," Débats Economiques et financiers, Banque de France, number 22.
• Item repec:hal:wpaper:hal-01300673 is not listed on IDEAS anymore

• Pierre-Emmanuel Darpeix, 2015, "Systemic risk and insurance," Working Papers, HAL, number halshs-01227969, Nov.
• Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016, "Wind Storm Risk Management," Working Papers, HAL, number hal-01299692, Apr.
• Demir, Banu & ÖRS, Evren & Michalski, Tomasz K., 2016, "Risk-Based Capital Requirements for Banks and International Trade," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11565, Oct.
• Janda, Karel & Kravtsov, Oleg, 2016, "Interdependencies between Leverage and Capital Ratios in the Banking Sector of the Czech Republic," MPRA Paper, University Library of Munich, Germany, number 74457, Oct.
• Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016, "Systemic co-jumps," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 149, DOI: 10.2139/ssrn.2851811.
• Item repec:bri:accfin:16/5 is not listed on IDEAS anymore

• Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Papers, arXiv.org, number 1610.03050, Oct, revised Jan 2018.
• Item repec:hal:wpaper:hal-01300681 is not listed on IDEAS anymore

• Item repec:hal:wpaper:hal-01318649 is not listed on IDEAS anymore

Report NEP-RMG-2016-10-23

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: