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Report NEP-RMG-2017-11-05
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:
- Wagner, Wolf & Schaeck, Klaus & Silva Buston, Consuelo, 2017, "The two faces of interbank correlation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12363, Oct.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017, "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2017-20.
- Dominique Guegan & Bertrand Hassani, 2017, "Regulatory Learning: how to supervise machine learning models? An application to credit scoring," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 17034r, Jul, revised Sep 2017.
- Jeanmarie Davis, 2017, "Coming together to address systemic risks: examples of collaboration: remarks at Risk USA 2017 Conference, New York City," Speech, Federal Reserve Bank of New York, number 258, Oct.
- Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2017, "Why Does Idiosyncratic Risk Increase with Market Risk?," CESifo Working Paper Series, CESifo, number 6560.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2017, "Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2017-21.
- Ruud A. De Mooij & Shafik Hebous, 2017, "Curbing Corporate Debt Bias: Do Limitations to Interest Deductibility Work?," CESifo Working Paper Series, CESifo, number 6312.
- Pedro G. Fonseca & Hugo D. Lopes, 2017, "Calibration of Machine Learning Classifiers for Probability of Default Modelling," Papers, arXiv.org, number 1710.08901, Oct.
- TOBBACK, Ellen & MARTENS, David, 2017, "Retail credit scoring using fine-grained payment data," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2017011, Oct.
- Josef Schroth & Stephane Moyen, 2017, "Optimal Capital Regulation," 2017 Meeting Papers, Society for Economic Dynamics, number 828.
- Christoph Basten & Benjamin Guin & Cathérine Tahmee Koch, 2017, "How Do Banks and Households Manage Interest Rate Risk? Evidence from the Swiss Mortgage Market," CESifo Working Paper Series, CESifo, number 6649.
- Bridget McNally & Thomas O’Connor & Anne M Garvey, 2017, "Valuation of Defined Benefit Pension Schemes in IAS 19 Employee Benefits – True and Fair?," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n287-17.pdf.
- Park, Beum-Jo & Kim, Myung-Joong, 2017, "A Dynamic Measure of Intentional Herd Behavior in Financial Markets," MPRA Paper, University Library of Munich, Germany, number 82025, Oct.
- Xiaoji Lin & Xiaofei Zhao & Jack Favilukis, 2017, "The Elephant in the Room: the Impact of Labor Obligations on Credit Markets," 2017 Meeting Papers, Society for Economic Dynamics, number 896.
- Sara Cecchetti, 2017, "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1141, Oct.
- Susan Athey & Stefan Wager, 2017, "Policy Learning with Observational Data," Papers, arXiv.org, number 1702.02896, Feb, revised Sep 2020.