Report NEP-RMG-2017-04-23

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Rosnan Chotard & Michel Dacorogna & Marie Kratz, 2016. "Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study," Working Papers hal-01424285, HAL.
• Marie Kratz & Yen H Lok & Alexander J Mcneil, 2016. "Multinomial var backtests: A simple implicit approach to backtesting expected shortfall," Working Papers hal-01424279, HAL.
• Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige, 2017. "SenSR: A sentiment-based systemic risk indicator," DNB Working Papers 553, Netherlands Central Bank, Research Department.
• Erizal, Nurulhidayu, 2017. "Relationship Between Level of Firm Performances and Risk in Food and Beverages Industry: Empirical Analysis on Khee San Berhad," MPRA Paper 78521, University Library of Munich, Germany.
• Schuermann, Til, 2016. "Stress Testing in Wartime and in Peacetime," Working Papers 17-01, University of Pennsylvania, Wharton School, Weiss Center.
• Mamatzakis, Emmanuel & Zhang, Xiaoxiang & Wang, Chaoke, 2017. "How the corporate governance mechanisms affect bank risk taking," MPRA Paper 78137, University Library of Munich, Germany.
• Scheicher, Martin & Peltonen, Tuomas A. & D'Errico, Marco & Battiston, Stefano, 2017. "How does risk flow in the credit default swap market?," Working Paper Series 2041, European Central Bank.
• Nehla Debbabi & Marie Kratz & Mamadou Mboup, 2016. "A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance," Working Papers hal-01424298, HAL.
• Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva, 2017. "Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time," Papers 1704.03244, arXiv.org.
• Laura Cristina Lanzarini & Augusto Villa Monte & Aurelio F. Bariviera & Patricia Jimbo Santana, 2017. "Simplifying credit scoring rules using LVQ+PSO," Papers 1704.04450, arXiv.org.
• Timo Dimitriadis & Sebastian Bayer, 2017. "A Joint Quantile and Expected Shortfall Regression Framework," Papers 1704.02213, arXiv.org, revised Aug 2017.
• Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
• Christophe Courbage & Henri Loubergé & Béatrice Rey, 2017. "On the properties of non-monetary measures for risks," Working Papers halshs-01471888, HAL.
• Herring, Richard J., 2016. "Less Really Can Be More: Why Simplicity and Comparability Should be Regulatory Objectives," Working Papers 16-08, University of Pennsylvania, Wharton School, Weiss Center.
• Sabrina Mulinacci, 2017. "A systemic shock model for too big to fail financial institutions," Papers 1704.02160, arXiv.org, revised Apr 2017.