Report NEP-RMG-2017-03-05

This 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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Stefan Weber, 2017. "Solvency II, or How to Sweep the Downside Risk Under the Carpet," Papers 1702.08901, arXiv.org, revised Nov 2017.
• Gehrig, Thomas Paul & Iannino, Maria Chiara, 2016. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145743, Verein für Socialpolitik / German Economic Association.
• Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.
• Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
• Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2016. "Asset Encumbrance, Bank Funding, and Financial Fragility," VfS Annual Conference 2016 (Augsburg): Demographic Change 145782, Verein für Socialpolitik / German Economic Association.
• Tetsuya Ishikawa & Scott Robertson, 2017. "Optimal Investment and Pricing in the Presence of Defaults," Papers 1703.00062, arXiv.org.
• Jamal Bouoiyour & Refk Selmi, 2017. "Are Trump and Bitcoin Good Partners?," Papers 1703.00308, arXiv.org.
• Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
• Takuji Arai & Yuto Imai, 2017. "A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus," Papers 1702.07556, arXiv.org, revised Nov 2017.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
• David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
• Andreu, Laura & Pütz, Alexander, 2016. "Choosing two business degrees versus choosing one: What does it tell about mutual fund managers' investment behavior?," CFR Working Papers 12-01 [rev.2], University of Cologne, Centre for Financial Research (CFR).
• Wayne Passmore & Alexander H. von Hafften, 2017. "Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small?," Finance and Economics Discussion Series 2017-021, Board of Governors of the Federal Reserve System (U.S.).
• Noth, Felix & Schüwer, Ulrich, 2018. "Natural disasters and bank stability: Evidence from the U.S. financial system," SAFE Working Paper Series 167, Leibniz Institute for Financial Research SAFE, revised 2018.
• Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.