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Report NEP-RMG-2017-01-08
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:
- Dacorogna, Michel M & Busse, Marc, 2016, "The Price of Being a Systemically Important Financial Institution (SIFI)," MPRA Paper, University Library of Munich, Germany, number 75787, Jun.
- Brunella Bruno & Giacomo Nocera & Andrea Resti, 2015, "The credibility of European banks’ risk-weighted capital: structural differences or national segmentations?," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1509.
- De Koning, Kees, 2016, "G-SIBOs (Global Systemically Important But Overlooked):The Collective of U.S. Households," MPRA Paper, University Library of Munich, Germany, number 75688, Dec.
- Claudia Kluppelberg & Miriam Isabel Seifert, 2016, "Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits," Papers, arXiv.org, number 1612.07132, Dec.
- João Barata Ribeiro Blanco Barroso & Thiago Christiano Silva & Sergio Rubens Stancato de Souza, 2016, "Decomposition of Systemic Risk Drivers in Evolving Financial Networks," Working Papers Series, Central Bank of Brazil, Research Department, number 448, Dec.
- Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2015, "Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 75740, Oct, revised Nov 2016.
- Michele Fabrizi & Elisabetta Ipino & Michel Magnan & Antonio Parbonetti, 2016, "Real Regulatory Capital Management and Dividend Payout: Evidence from Available-for-Sale Securities," CIRANO Working Papers, CIRANO, number 2016s-57, Dec.
- Leonella Gori & Barbara Chizzolini & Stefano Gatti, 2016, "Features and determinants of risk in investment choices by Private Equity funds," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1625.
- Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016, "Hedging under an expected loss constraint with small transaction costs," Post-Print, HAL, number hal-00863562, Jun.
- Apicella, Giovanna & Dacorogna, Michel M, 2016, "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper, University Library of Munich, Germany, number 75788, Jul.
- Elena Di Bernardino & Didier Rullière, 2016, "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Post-Print, HAL, number hal-01147778, Dec, DOI: 10.1515/demo-2016-0019.
- Brown, Sarah & Gray, Daniel & Harris, Mark N. & Spencer, Christopher, 2016, "Portfolio Allocation, Income Uncertainty and Households' Flight from Risk," IZA Discussion Papers, Institute of Labor Economics (IZA), number 10408, Dec.
- Tirupam Goel, 2016, "Banking industry dynamics and size-dependent capital regulation," BIS Working Papers, Bank for International Settlements, number 599, Dec.
- Yehning Chen & Iftekhar Hasan, 2016, "Interconnectedness Among Banks, Financial Stability, and Bank Capital Regulation," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1643.
- Chunfa Wang, 2017, "Pricing European Options by Stable Fourier-Cosine Series Expansions," Papers, arXiv.org, number 1701.00886, Jan, revised Jan 2017.
- Olofsson, Sara & Gerdtham , Ulf-G & Hultkrantz , Lars & Persson , Ulf, 2016, "Chained Approach vs Contingent Valuation for Estimating the Value of Risk Reduction," Working Papers, Lund University, Department of Economics, number 2016:34, Dec.
- Imre Kondor & G'abor Papp & Fabio Caccioli, 2016, "Analytic solution to variance optimization with no short-selling," Papers, arXiv.org, number 1612.07067, Dec, revised Jan 2017.
- Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015, "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1505.
- Teresa Ghilarducci, 2016, "Innovations in Protecting the Old: Mostly Social Insurance and Some Assets," SCEPA working paper series., Schwartz Center for Economic Policy Analysis (SCEPA), The New School, number 2016-05, Jun.
- Kiran Sharma & Balagopal Gopalakrishnan & Anindya S. Chakrabarti & Anirban Chakraborti, 2016, "Co-movements in financial fluctuations are anchored to economic fundamentals: A mesoscopic mapping," Papers, arXiv.org, number 1612.05952, Dec, revised Jan 2017.