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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. 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:
- Stefan Weber, 2017, "Solvency II, or How to Sweep the Downside Risk Under the Carpet," Papers, arXiv.org, number 1702.08901, Feb, 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, Verein für Socialpolitik / German Economic Association, number 145743.
- Greig Smith & Goncalo dos Reis, 2017, "Robust and Consistent Estimation of Generators in Credit Risk," Papers, arXiv.org, number 1702.08867, Feb, revised Oct 2017.
- Daniel Grigat & Fabio Caccioli, 2017, "Reverse stress testing interbank networks," Papers, arXiv.org, number 1702.08744, Feb, 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, Verein für Socialpolitik / German Economic Association, number 145782.
- Tetsuya Ishikawa & Scott Robertson, 2017, "Optimal Investment and Pricing in the Presence of Defaults," Papers, arXiv.org, number 1703.00062, Feb.
- Jamal Bouoiyour & Refk Selmi, 2017, "Are Trump and Bitcoin Good Partners?," Papers, arXiv.org, number 1703.00308, Mar.
- Natoli, Filippo & Sigalotti, Laura, 2017, "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series, European Central Bank, number 1997, Jan.
- Takuji Arai & Yuto Imai, 2017, "A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus," Papers, arXiv.org, number 1702.07556, Feb, 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, Bamberg University, Bamberg Economic Research Group, number 119.
- David Landriault & Bin Li & Hongzhong Zhang, 2017, "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers, arXiv.org, number 1702.07786, Feb.
- 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, University of Cologne, Centre for Financial Research (CFR), number 12-01 [rev.2].
- Wayne Passmore & Alexander H. von Hafften, 2017, "Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-021, Feb, DOI: 10.17016/FEDS.2017.021.
- Noth, Felix & Schüwer, Ulrich, 2018, "Natural disasters and bank stability: Evidence from the U.S. financial system," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 167, revised 2018, DOI: 10.2139/ssrn.2921000.
- Robin Greenwood & Andrei Shleifer & Yang You, 2017, "Bubbles for Fama," NBER Working Papers, National Bureau of Economic Research, Inc, number 23191, Feb.