Report NEP-RMG-2017-02-05This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Caterina Mendicino & Kalin Nikolov & Javier Suarez & Dominik Supera, 2016. "Optimal Dynamic Capital Requirements," Working Papers wp2016_1614, CEMFI.
- Davis, Todd & Mark, Tyler & Shepherd, Jonathan, 2017. "Simulated Western Kentucky Grain Farm Cash Flows, Working Capital Erosion, and Evaluation of Risk Management Tools to Manage these Risks," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252745, Southern Agricultural Economics Association.
- Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O, 2012. "Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis," Swiss Finance Institute Research Paper Series 12-04, Swiss Finance Institute.
- Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
- Valentina Corradi & Walter Distaso & Antonio Mele, 2012. "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series 12-18, Swiss Finance Institute.
- Thomas Philippon & Pierre Pessarossi & Boubacar Camara, 2017. "Backtesting European Stress Tests," NBER Working Papers 23083, National Bureau of Economic Research, Inc.
- Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
- Liangliang Jiang & Ross Levine & Chen Lin, 2017. "Does Competition Affect Bank Risk?," NBER Working Papers 23080, National Bureau of Economic Research, Inc.
- Albert S. Kyle & Anna Obizhaeva, 2017. "Dimensional Analysis and Market Microstructure Invariance," Working Papers w0234, Center for Economic and Financial Research (CEFIR).