Printed from https://ideas.repec.org/n/nep-rmg/2017-11-19.html
Report NEP-RMG-2017-11-19
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:
- Branko Uroševic & Mikica Drenovak & Vladimir Rankovic & Ranko Jelic & Milos Ivanovic, 2016, "Market Risk Management in a Post-Basel II Regulatory Environment," CESifo Working Paper Series, CESifo, number 6293.
- Cheng-Der Fuh & Chuan-Ju Wang, 2017, "Efficient Exponential Tilting for Portfolio Credit Risk," Papers, arXiv.org, number 1711.03744, Nov, revised Apr 2019.
- Sudipto Karmakar & Leonardo Gambacorta, 2017, "Leverage and Risk Weighted Capital Requirements," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/09, Oct.
- Stanislav Anatolyev & Jozef Barunik, 2017, "Forecasting dynamic return distributions based on ordered binary choice," Papers, arXiv.org, number 1711.05681, Nov, revised Jan 2019.
- Limani, Jeta & Bettinger, Régis & Dacorogna, Michel M, 2017, "On the diversification benefit of reinsurance portfolios," MPRA Paper, University Library of Munich, Germany, number 82466, Oct.
- Benjamin R. Auer & Benjamin Mögel, 2016, "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series, CESifo, number 6288.
- Item repec:hum:wpaper:sfb649dp2017-025 is not listed on IDEAS anymore
- Dominika Langenmayr & Rebecca Lester, 2017, "Taxation and Corporate Risk-Taking," CESifo Working Paper Series, CESifo, number 6566.
- T. R. Hurd, 2017, "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers, arXiv.org, number 1711.05289, Nov.
- Xavier Warin, 2017, "Variance optimal hedging with application to Electricity markets," Papers, arXiv.org, number 1711.03733, Nov, revised Aug 2018.
- Oubdi, Lahsen & Raghibi, Abdessamad, 2017, "An Overview on the Practice and Issues of Hedging in Islamic Finance," MPRA Paper, University Library of Munich, Germany, number 82646, Oct.
- Catalina Bolancé & Raluca Vernic, 2017, "Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number XREAP2017-07, Nov, revised Nov 2017.
- Hassan, Tarek & Hollander, Stephan & van Lent, Laurence & Tahoun, Ahmed, 2017, "Firm-level political risk: Measurement and effects," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12436, Nov.
- Begenau, Juliane & Landvoigt, Tim, 2017, "Financial Regulation in a Quantitative Model of the Modern Banking System," Research Papers, Stanford University, Graduate School of Business, number 3558, Apr.
- Mohammad Bitar & M. Kabir Hassan & William J. Hippler, 2017, "Determinants of Bank Capital in Dual Banking Systems," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2017-WP-04, Oct.
- Niu, Cuizhen & Wong, Wing-Keung & Zhu, Lixing, 2017, "Farinelli and Tibiletti ratio and Stochastic Dominance," MPRA Paper, University Library of Munich, Germany, number 82737, Nov.
- Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017, "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/17.
- David Turner, 2017, "Designing fan charts for GDP growth forecasts to better reflect downturn risks," OECD Economics Department Working Papers, OECD Publishing, number 1428, Nov, DOI: 10.1787/e86f1bfc-en.
- Fry, John & Serbera, Jean-Philippe, 2017, "Modelling and mitigation of Flash Crashes," MPRA Paper, University Library of Munich, Germany, number 82457, Sep.
- Torsten Trimborn & Lorenzo Pareschi & Martin Frank, 2017, "Portfolio Optimization and Model Predictive Control: A Kinetic Approach," Papers, arXiv.org, number 1711.03291, Nov, revised Feb 2019.