Report NEP-RMG-2017-05-21This 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:
- David Xiao Chen & Philippe Muller & Hawa Wagué, 2017. "Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data," Discussion Papers 17-6, Bank of Canada.
- David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2017. "Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility," Papers 1705.06533, arXiv.org.
- Ziegel, Johanna F. & Krueger, Fabian & Jordan, Alexander & Fasciati, Fernando, 2017. "Murphy Diagrams: Forecast Evaluation of Expected Shortfall," Working Papers 0632, University of Heidelberg, Department of Economics.
- Uluc, Arzu & Wieladek, Tomasz, 2017. "Capital requirements, risk shifting and the mortgage market," Working Paper Series 2061, European Central Bank.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Computation of second order price sensitivities in depressed markets," Papers 1705.02473, arXiv.org, revised Jan 2018.
- Jorge A Chan-Lau, 2017. "Variance Decomposition Networks; Potential Pitfalls and a Simple Solution," IMF Working Papers 17/107, International Monetary Fund.
- Ralph S.J. Koijen & Motohiro Yogo, 2017. "Risk of Life Insurers: Recent Trends and Transmission Mechanisms," NBER Working Papers 23365, National Bureau of Economic Research, Inc.
- International Monetary Fund, 2017. "Kingdom of the Netherlands-Netherlands: Financial Sector Assessment Program:; Technical Note-Regulation,Supervision, and Oversight of Financial Market Infrastructures-Responsibilities and EUROCCP Fina," IMF Staff Country Reports 17/92, International Monetary Fund.
- International Monetary Fund, 2017. "Kingdom of the Netherlands-Netherlands: Financial Sector Assessment Program:; Technical Note-Financial Stability and Stress Testing of the Banking, Household, and Corporate Sectors," IMF Staff Country Reports 17/95, International Monetary Fund.
- Jorge A Chan-Lau & Weimin Miao & Ken Miyajima & Jongsoon Shin, 2017. "Assessing Corporate Vulnerabilities in Indonesia; A Bottom-Up Default Analysis," IMF Working Papers 17/97, International Monetary Fund.
- Ambrocio, Gene & Jokivuolle, Esa, 2017. "Should bank capital requirements be less risk-sensitive because of credit constraints?," Research Discussion Papers 10/2017, Bank of Finland.
- Rosengren, Eric S., 2017. "Trends in commercial real estate: remarks at the Risk Management for Commercial Real Estate Financial Markets Conference, New York University Stern School of Business, New York, New York, May 9, 2017," Speech 118, Federal Reserve Bank of Boston.
- Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.