Report NEP-RMG-2017-08-13This 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:
- Divya Kirti, 2017. "When Gambling for Resurrection is Too Risky," IMF Working Papers 17/180, International Monetary Fund.
- Sheheryar Malik & Peter Lindner, 2017. "On Swing Pricing and Systemic Risk Mitigation," IMF Working Papers 17/159, International Monetary Fund.
- Emilia Bonaccorsi di Patti & Anil Kashyap, 2017. "Which Banks Recover From Large Adverse Shocks?," NBER Working Papers 23654, National Bureau of Economic Research, Inc.
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
- Thibaut Duprey & Benjamin Klaus, 2017. "How to Predict Financial Stress? An Assessment of Markov Switching Models," Staff Working Papers 17-32, Bank of Canada.
- Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.
- Lo Duca, Marco & Koban, Anne & Basten, Marisa & Bengtsson, Elias & Klaus, Benjamin & Kusmierczyk, Piotr & Lang, Jan Hannes & Detken, Carsten & Peltonen, Tuomas A., 2017. "A new database for financial crises in European countries," Occasional Paper Series 194, European Central Bank.
- Merve Merakli & Simge Kucukyavuz, 2017. "Vector-Valued Multivariate Conditional Value-at-Risk," Papers 1708.01324, arXiv.org.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana, 2017. "Political Distribution Risk and Aggregate Fluctuations," NBER Working Papers 23647, National Bureau of Economic Research, Inc.
- Qi-Wen Wang & Jian-Jun Shu, 2017. "Financial option insurance," Papers 1708.02180, arXiv.org.