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Report NEP-RMG-2017-09-10
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:
- Melanie Houllier & David Murphy, 2017, "Borderline: judging the adequacy of return distribution estimation techniques in initial margin models," Bank of England working papers, Bank of England, number 673, Sep.
- Mabelle Sayah, 2016, "Counterparty Credit Risk in OTC Derivatives under Basel III," Post-Print, HAL, number hal-01550312, Dec, DOI: 10.4236/jmf.2017.71001.
- Lijun Bo & Agostino Capponi & Claudia Ceci, 2017, "Risk-Minimizing Hedging of Counterparty Risk," Papers, arXiv.org, number 1709.01115, Sep.
- Felix Moldenhauer & Marcin Pitera, 2017, "Backtesting Expected Shortfall: a simple recipe?," Papers, arXiv.org, number 1709.01337, Sep, revised Aug 2018.
- Item repec:hal:wpaper:hal-01520655 is not listed on IDEAS anymore
- Luca Barbaglia & Christophe Croux & Ines Wilms, 2017, "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 590528, Aug.
- Tröger, Tobias H., 2017, "Too complex to work: A critical assessment of the bail-in tool under the European bank recovery and resolution regime," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 179, DOI: 10.2139/ssrn.3023184.
- Fabrizio Perri & Georgios Stefanidis, 2017, "Capital Requirements and Bailouts," Staff Report, Federal Reserve Bank of Minneapolis, number 554, Aug, DOI: 10.21034/sr.554.
- Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017, "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 128.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers, Federal Reserve Bank of St. Louis, number 2017-026, Aug, DOI: 10.20955/wp.2017.026.
- Jane E. Ihrig & Edward Kim & Ashish Kumbhat & Cindy M. Vojtech & Gretchen C. Weinbach, 2017, "How Have Banks Been Managing the Composition of High-Quality Liquid Assets?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-092, Aug, DOI: 10.17016/FEDS.2017.092r1.
- Victor Olkhov, 2017, "Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks," Papers, arXiv.org, number 1709.00282, Aug.
- Frédéric Sart, 2016, "On the hedging of liabilities with an endogenous profit sharing mechanism," Post-Print, HAL, number hal-01574949, Jun.