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Report NEP-RMG-2018-01-08
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:
- Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley, 2017, "Stock market as temporal network," Papers, arXiv.org, number 1712.04863, Dec.
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017, "Multivariate extensions of expectiles risk measures," Post-Print, HAL, number hal-01367277, DOI: 10.1515/demo-2017-0002.
- Iñaki Aldasoro & Andreas Barth, 2017, "Syndicated loans and CDS positioning," BIS Working Papers, Bank for International Settlements, number 679, Dec.
- Sergio Masciantonio & Andrea Zaghini, 2017, "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1153, Dec.
- Maarten van Oordt, 2017, "Credit Risk Transfer and Bank Insolvency Risk," Staff Working Papers, Bank of Canada, number 17-59, DOI: 10.34989/swp-2017-59.
- Item repec:imf:imfwpa:17/245 is not listed on IDEAS anymore
- Siemsen, Thomas & Vilsmeier, Johannes, 2017, "A stress test framework for the German residential mortgage market: Methodology and application," Discussion Papers, Deutsche Bundesbank, number 37/2017.
- Peter Kritzer & Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2017, "Approximation methods for piecewise deterministic Markov processes and their costs," Papers, arXiv.org, number 1712.09201, Dec, revised Jan 2019.
- Memmel, Christoph, 2017, "Why do banks bear interest rate risk?," Discussion Papers, Deutsche Bundesbank, number 35/2017.
- Beirlant, J. & Kijko, Andrzej & Reykens, Tom & Einmahl, John, 2017, "Estimating the Maximum Possible Earthquake Magnitude Using Extreme Value Methodology : the Groningen Case," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-050.
- Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017, "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers, Bank of Canada, number 17-58, DOI: 10.34989/swp-2017-58.
- Pierluigi Bologna, 2017, "Banks’ maturity transformation: risk, reward, and policy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1159, Dec.
- Lijun Bo & Huafu Liao & Xiang Yu, 2017, "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers, arXiv.org, number 1712.05676, Dec, revised Oct 2018.
- Yuri F. Saporito, 2017, "First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment," Papers, arXiv.org, number 1712.07320, Dec.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2018, "Social aspirations in European banks: peer-influenced risk behavior," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 172510.
- BREITUNG, Jörg & HAFNER, Christian, 2016, "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016004, Oct.
- Einmahl, Jesson & Einmahl, John & de Haan, L.F.M., 2017, "Limits to Human Life Span Through Extreme Value Theory," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-051.