Report NEP-RMG-2019-01-07This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Systemic Risk and the Great Depression," NBER Working Papers 25405, National Bureau of Economic Research, Inc.
- Düll, Robert & König, Felix & Ohls, Jana, 2017. "On the exposure of insurance companies to sovereign risk − portfolio investments and market forces 1," LSE Research Online Documents on Economics 83195, London School of Economics and Political Science, LSE Library.
- Matyas Barczy & Adam Dudas & Jozsef Gall, 2018. "On approximations of Value at Risk and Expected Shortfall involving kurtosis," Papers 1811.06361, arXiv.org.
- Vincent Bouvatier & Laetitia Lepetit & Pierre-Nicolas Rehault & Frank Strobel, 2018. "Bank insolvency risk and Z-score measures: caveats and best practice," Working Papers hal-01937929, HAL.
- Harjaat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," CESifo Working Paper Series 7391, CESifo Group Munich.
- Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Discussion Paper Series, School of Economics and Finance 201805, School of Economics and Finance, University of St Andrews.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
- Danielsson, Jon & Macrae, Robert & Micheler, Eva, 2017. "Brexit and systemic risk," LSE Research Online Documents on Economics 85124, London School of Economics and Political Science, LSE Library.
- Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," Working Papers halshs-01944449, HAL.
- Dieter Wang & Iman van Lelyveld & Julia Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," DNB Working Papers 619, Netherlands Central Bank, Research Department.
- Nadine M Walters & Conrad Beyers & Gusti van Zyl & Rolf van den Heever, 2018. "A framework for simulating systemic risk and its application to the South African banking sector," Papers 1811.04223, arXiv.org.
- Ana Sasi-Brodesky, 2017. "Recovery rates in the Israeli corporate bond market 2008-2015," Bank of Israel Working Papers 2107.17, Bank of Israel.
- International Monetary Fund, 2018. "Brazil; Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis," IMF Staff Country Reports 18/344, International Monetary Fund.
- Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
- Lucia Cipolina-Kun & Ignacio Ruiz & Mariano Zero-Medina Laris, 2018. "An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk," Papers 1812.09407, arXiv.org.