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Report NEP-RMG-2017-07-09
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:
- Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017, "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers, Deutsche Bundesbank, number 15/2017.
- Yang, Bill Huajian, 2017, "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper, University Library of Munich, Germany, number 79934, Sep.
- Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017, "Computational aspects of robust optimized certainty equivalents and option pricing," Papers, arXiv.org, number 1706.10186, Jun, revised Mar 2019.
- Marco Bardoscia & Paolo Barucca & Adam Brinley Codd & John Hill, 2017, "The decline of solvency contagion risk," Bank of England working papers, Bank of England, number 662, Jun.
- Junge, Georg & Kugler, Peter, 2017, "Optimal equity capital requirements for Swiss G-SIBs," Working papers, Faculty of Business and Economics - University of Basel, number 2017/11.
- Vikram Nanda & Wei Wu & Xing Zhou, 2017, "Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-069, Jun, DOI: 10.17016/FEDS.2017.069.
- Jinglun Yao & Maxime Levy-Chapira & Mamikon Margaryan, 2017, "Checking account activity and credit default risk of enterprises: An application of statistical learning methods," Papers, arXiv.org, number 1707.00757, Jul.
- Arunangshu Biswas & Anindya Goswami & Ludger Overbeck, 2017, "Option Pricing in a Regime Switching Stochastic Volatility Model," Papers, arXiv.org, number 1707.01237, Jul, revised Jan 2018.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017, "An alternative class of distortion operators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01543251, Jun.
- sebastian De-Ramon & Michael Straughan, 2017, "The economic cost of capital: a VECM approach for estimating and testing the banking sector's response to changes in capital ratios," Bank of England working papers, Bank of England, number 663, Jun.
- David Puelz & P. Richard Hahn & Carlos Carvalho, 2017, "Regret-based Selection for Sparse Dynamic Portfolios," Papers, arXiv.org, number 1706.10180, Jun, revised Jul 2017.
- Lily Y. Liu, 2017, "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 17-1, May.
- Dan Pirjol & Lingjiong Zhu, 2017, "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Papers, arXiv.org, number 1707.00899, Jul.
- Adams, Zeno & Kartsakli, Maria, 2017, "Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization," Working Papers on Finance, University of St. Gallen, School of Finance, number 1710, Jun.
- Eraslan, Sercan & Ali, Faek Menla, 2017, "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers, Deutsche Bundesbank, number 17/2017.
- Guglielmo D'Amico & Montserrat Guillen & Raimondo Manca & Filippo Petroni, 2017, "Multi-state models for evaluating conversion options in life insurance," Papers, arXiv.org, number 1707.01028, Jul.
- Larry G. Epstein & Yoram Halevy, 2017, "Ambiguous Correlation," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2017-006, Feb.