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Report NEP-RMG-2017-01-22
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:
- Item repec:cte:idrepe:24017 is not listed on IDEAS anymore
- Yang, Bill Huajian, 2017, "Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing," MPRA Paper, University Library of Munich, Germany, number 76271, Jan.
- Yang, Bill Huajian & Du, Zunwei, 2016, "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper, University Library of Munich, Germany, number 76270, Sep.
- Peter Eckley & Matteo Benetton & Georgia Latsi & Nicola Garbarino & Liam Kirwin, 2017, "Specialisation in mortgage risk under Basel II," Bank of England working papers, Bank of England, number 639, Jan.
- Aliyu Dahiru Muhammad, 2016, "Risk Management Practices in Islamic Banking Institutions: A Comparative Study between Nigeria and Malaysia," Working Papers, The Islamic Research and Teaching Institute (IRTI), number 2016-14, Nov.
- Ruediger Frey & Lars Roesler & Dan Lu, 2017, "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers, arXiv.org, number 1701.04780, Jan, revised May 2017.
- Masahiko Egami & Rusudan Kevkhishvili, 2017, "Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management," Papers, arXiv.org, number 1701.04565, Jan, revised Feb 2019.
- Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan, 2017, "A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities," Papers, arXiv.org, number 1701.04134, Jan.
- Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016, "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16034rr, Apr, revised Jan 2017.
- Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2017, "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," Papers, arXiv.org, number 1701.04167, Jan.
- Antoine Jacquier & Claude Martini & Aitor Muguruza, 2017, "On VIX Futures in the rough Bergomi model," Papers, arXiv.org, number 1701.04260, Jan.
- Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017, "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers, IMT School for Advanced Studies Lucca, number 01/2017, Jan, revised Jan 2017.
- Reyes, Celia M. & Mina, Christian D. & Agbon, Adrian D. & Gloria, Reneli Ann B., 2017, "Agricultural Insurance Program: Lessons from Different Country Experiences," Discussion Papers, Philippine Institute for Development Studies, number DP 2017-02, DOI: https://doi.org/10.62986/dp2017.02.