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Report NEP-RMG-2017-12-11
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:
- Emese Lazar & Ning Zhang, 2017, "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-10, Nov.
- Gazi I. Kara & Cindy M. Vojtech, 2017, "Bank Failures, Capital Buffers, and Exposure to the Housing Market Bubble," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-115, Nov, DOI: 10.17016/FEDS.2017.115.
- Berdin, Elia & Sottocornola, Matteo, 2017, "Systemic risk in insurance: Towards a new approach," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 62.
- Marco Bee & Maria Michela Dickson & Flavio Santi, 2017, "Likelihood-based Risk Estimation for Variance-Gamma Models," DEM Working Papers, Department of Economics and Management, number 2017/03.
- Reinhard Ellwanger, 2017, "On the Tail Risk Premium in the Oil Market," Staff Working Papers, Bank of Canada, number 17-46, DOI: 10.34989/swp-2017-46.
- Simona Malovana, 2017, "Banks' Capital Surplus and the Impact of Additional Capital Requirements," Working Papers, Czech National Bank, Research and Statistics Department, number 2017/8, Nov.
- Item repec:imf:imfscr:17/282 is not listed on IDEAS anymore
- Huang, Yajing & Liu, Taoxiong & Lien, Donald, 2017, "Portfolio Homogenization and Systemic Risk of Financial Network," MPRA Paper, University Library of Munich, Germany, number 82956, Oct.
- Item repec:imf:imfscr:17/285 is not listed on IDEAS anymore
- Eling, Martin & Jia, Ruo & Schaper, Philipp, 2017, "Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety," Working Papers on Finance, University of St. Gallen, School of Finance, number 1716, Oct.
- Brendan K. Beare & Alexis Akira Toda, 2017, "Determination of Pareto exponents in economic models driven by Markov multiplicative processes," Papers, arXiv.org, number 1712.01431, Dec, revised Jan 2022.
- Item repec:imf:imfscr:17/257 is not listed on IDEAS anymore
- Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017, "Multi-currency reserving for coherent risk measures," Papers, arXiv.org, number 1712.01319, Dec, revised Dec 2017.
- Xing, Victor, 2017, "Non-bank Financial Institutions at the Ground Zero of Next Crisis," MPRA Paper, University Library of Munich, Germany, number 83077, Nov.
- Neyer, Ulrike & Sterzel, André, 2017, "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE), number 275.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017, "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-09, Sep.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2017, "Contagion in Derivatives Markets," Economics Series Working Papers, University of Oxford, Department of Economics, number 839, Nov.
- Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017, "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers, Society for Economic Dynamics, number 1161.
- José-Luis Peydró [AP BACKUP – NOW EXTERNAL] & Camelia Minoiu & Irina Mihai & José-Luis Peydró & Mircea Epure, 2017, "Global Financial Cycle, Household Credit, and Macroprudential Policies," Working Papers, Barcelona School of Economics, number 1006, Dec.
- Andrea Morone & Francesco Nemore & Tiziana Temerario, 2017, "Individual and group preferences over risk: Does group size matter?," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/12, Nov.
- Laura Gianfagna & Armando Rungi, 2017, "Does corporate control matter to financial volatility?," Working Papers, IMT School for Advanced Studies Lucca, number 09/2017, Nov, revised Nov 2017.
- Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017, "A Neural Stochastic Volatility Model," Papers, arXiv.org, number 1712.00504, Nov, revised Dec 2018.
- Paul McCloud, 2017, "Quantum Bounds for Option Prices," Papers, arXiv.org, number 1712.01385, Dec, revised May 2018.
- Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017, "US stocks in the presence of oil price risk: Large cap vs. Small cap," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 037, Sep.