Report NEP-RMG-2016-12-18

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:

• He, Yi, 2016, "Multivariate extreme value statistics for risk assessment," Other publications TiSEM, Tilburg University, School of Economics and Management, number 119cc8b9-5198-41d6-a648-f.
• Patrick Bolton & Neng Wang & Jinqiang Yang, 2016, "Liquidity and Risk Management: Coordinating Investment and Compensation Policies," 2016 Meeting Papers, Society for Economic Dynamics, number 1703.
• 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 16046r, May, revised Sep 2016.
• Bo Young Chang & Greg Orosi, 2016, "Equity Option-Implied Probability of Default and Equity Recovery Rate," Staff Working Papers, Bank of Canada, number 16-58, DOI: 10.34989/swp-2017-58.
• Dirk Schoenmaker, 2016, "European insurance union and how to get there," Bruegel Policy Brief, Bruegel, number 18144, Dec.
• Item repec:mod:wcefin:16212 is not listed on IDEAS anymore

• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016, "Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking," Departmental Working Papers, Rutgers University, Department of Economics, number 201611, Dec.
• Sebastian J A de-Ramon & William Francis & Qun Harris, 2016, "Bank capital requirements and balance sheet management practices: has the relationship changed after the crisis?," Bank of England working papers, Bank of England, number 635, Dec.
• Alicja Wolny-Dominiak, 2016, "The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company," Papers, arXiv.org, number 1612.04126, Dec.
• Hong Li & Shamim Ahmed & Thanaset Chevapatrakul, 2016, "Volatility spillovers across European stock markets around the Brexit referendum," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2016/06.
• de Valk, Cees, 2016, "A large deviations approach to the statistics of extreme events," Other publications TiSEM, Tilburg University, School of Economics and Management, number 117b3ba0-0e40-4277-b25e-d.
• Andreas Frohlich & Annegret Weng, 2016, "Parameter uncertainty and reserve risk under Solvency II," Papers, arXiv.org, number 1612.03066, Dec, revised Apr 2017.
• Stanislaus Maier-Paape, 2016, "Risk averse fractional trading using the current drawdown," Papers, arXiv.org, number 1612.02985, Dec.
• Ho, Shuay-Tsyr & Ifft, Jennifer E. & Rickard, Bradley J. & Turvey, Calum G., 2016, "Alternative Strategies to Manage Weather Risk in Perennial Fruit Crop Production," Working Papers, Cornell University, Department of Applied Economics and Management, number 250036, Nov, DOI: 10.22004/ag.econ.250036.