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Report NEP-RMG-2018-07-23
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:
- Chao Wang & Richard Gerlach & Qian Chen, 2018, "A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework," Papers, arXiv.org, number 1807.02422, Jul, revised Jan 2021.
- Kaouther Toumi & Jean-Laurent Viviani & Zeinab Chayeh, 2019, "Measurement of the displaced commercial risk in Islamic banks," Post-Print, HAL, number halshs-01806496, Nov, DOI: 10.1016/j.qref.2018.03.001.
- Rustom M. Irani & Rajkamal Iyer & Ralf R. Meisenzahl & José-Luis Peydró, 2018, "The Rise of Shadow Banking : Evidence from Capital Regulation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-039, Jun, DOI: 10.17016/FEDS.2018.039.
- Dong Beom Choi & Michael R. Holcomb & Donald P. Morgan, 2018, "Bank leverage limits and regulatory arbitrage: new evidence on a recurring question," Staff Reports, Federal Reserve Bank of New York, number 856, Jun.
- Imbierowicz, Björn & Kragh, Jonas & Rangvid, Jesper, 2018, "Time-varying capital requirements and disclosure rules: Effects on capitalization and lending decisions," Discussion Papers, Deutsche Bundesbank, number 18/2018.
- Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
- Tim Xiao, 2018, "A New Model for Pricing Collateralized Financial Derivatives," Papers, arXiv.org, number 1805.11981, May.
- Ariah Klages-Mundt & Andreea Minca, 2018, "Cascading Losses in Reinsurance Networks," Papers, arXiv.org, number 1805.12222, May, revised Mar 2020.
- Item repec:dnb:dnbwpp:600 is not listed on IDEAS anymore
- Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2018, "Network-based asset allocation strategies," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 180063.
- Urairat Maneerattanasak & Nitaya Wongpinunwatana, 2017, "A Study of Success Factors of Principle and Practice in Information Technology Risk Management," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 5407887, Jul.
- Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018, "Time consistency of the mean-risk problem," Papers, arXiv.org, number 1806.10981, Jun, revised Jan 2020.
- Javier Ojea Ferreiro, 2018, "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-12, May.
- Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2018, "Why do banks use derivatives? An analysis of the Italian banking system," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 441, Jun.
- Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018, "Bank-intermediated arbitrage," Staff Reports, Federal Reserve Bank of New York, number 858, Jun.
- Vilislav Boutchaktchiev, 2018, "A Markov Chain Model for the Cure Rate of Non-Performing Loans," Papers, arXiv.org, number 1805.11804, May, revised Jun 2018.
- Arpad Abraham & Eva Carceles-Poveda & Yan Liu & Ramon Marimon, 2018, "On the optimal design of a Financial Stability Fund," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 18-06.
- Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid, 2018, "Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios," Papers, arXiv.org, number 1806.08005, Jun, revised May 2019.
- Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue, 2018, "Earthquake risk embedded in property prices: Evidence from five Japanese cities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-061/III, Jul.