Report NEP-RMG-2017-06-25This 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:
- Rima Turk-Ariss, 2017. "Heterogeneity of Bank Risk Weights in the EU; Evidence by Asset Class and Country of Counterparty Exposure," IMF Working Papers 17/137, International Monetary Fund.
- Jorge A Chan-Lau & Cheng Hoon Lim & Jose Daniel Rodríguez-Delgado & Bennett W Sutton & Melesse Tashu, 2017. "Bottom-Up Default Analysis of Corporate Solvency Risk; An Application to Latin America," IMF Working Papers 17/133, International Monetary Fund.
- Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
- Dianfa Chen & Jun Deng & Jianfen Feng & Bin Zou, 2017. "An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing," Papers 1706.06285, arXiv.org, revised Aug 2018.
- Thomas Forss & Peter Sarlin, 2017. "News-sentiment networks as a risk indicator," Papers 1706.05812, arXiv.org, revised May 2018.
- Yan Wendy Wu, Cindy Truong, Chen Liu, 2017. "Lehman Sisters: Female Bank Executives and Risk-Taking," LCERPA Working Papers 0100, Laurier Centre for Economic Research and Policy Analysis, revised 01 Mar 2017.
- Cuizhen Niu & Xu Guo & Wing-Keung Wong & Michael McAleer, 2017. "Theory and Application of an Economic Performance Measure of Risk," Documentos de Trabajo del ICAE 2017-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Isaev, Mirolim & Masih, Mansur, 2017. "Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia," MPRA Paper 79719, University Library of Munich, Germany.
- Egle Jakucionyte, 2017. "Personal Bankruptcy, Bank Portfolio Choice and the Macroeconomy," Bank of Lithuania Working Paper Series 44, Bank of Lithuania.