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Report NEP-RMG-2017-01-15
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:
- Peter Sands & Gordon Liao & Yueran Ma, 2017, "Rethinking Operational Risk Capital Requirements," Working Paper, Harvard University OpenScholar, number 482781, Jan.
- Andra C. Ghent & Marianna Kudlyak, 2016, "Intergenerational Linkages in Household Credit," Working Paper Series, Federal Reserve Bank of San Francisco, number 2016-31, Dec, DOI: 10.24148/wp2016-31.
- Naohisa Hirakata & Yosuke Kido & Jie Liang Thum, 2017, "Empirical Evidence on "Systemic as a Herd": The Case of Japanese Regional Banks," Bank of Japan Working Paper Series, Bank of Japan, number 17-E-1, Jan.
- Christoph Wunderer, 2017, "Asset correlation estimation for inhomogeneous exposure pools," Papers, arXiv.org, number 1701.02028, Jan, revised Sep 2019.
- Vadim Kaushansky & Alexander Lipton & Christoph Reisinger, 2016, "Numerical analysis of an extended structural default model with mutual liabilities and jump risk," Papers, arXiv.org, number 1701.00030, Dec.
- Gabor Fukker, 2017, "Harmonic distances and systemic stability in heterogeneous interbank networks," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2017/1.
- Csoka, Péter & Herings, P. Jean-Jacques, 2017, "An Axiomatization of the Proportional Rule in Financial Networks," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 001, Jan, DOI: 10.26481/umagsb.2017001.
- Kazutoshi Yamazaki, 2017, "Phase-type Approximation of the Gerber-Shiu Function," Papers, arXiv.org, number 1701.02798, Jan.
- Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017, "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper, University Library of Munich, Germany, number 75948, Jan.
- Sabiou Inoua, 2016, "The Random Walk behind Volatility Clustering," Papers, arXiv.org, number 1612.09344, Dec.
- Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016, "BSDEs with default jump," Papers, arXiv.org, number 1612.05681, Dec, revised Sep 2017.