Report NEP-RMG-2019-05-13

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019, "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper, University Library of Munich, Germany, number 93634, Apr.
• Eduardo Abi Jaber & Omar El Euch, 2019, "Multi-factor approximation of rough volatility models," Post-Print, HAL, number hal-01697117, May.
• Christian Gourieroux & Yang Lu, 2019, "Least Impulse Response Estimator for Stress Test Exercises," Working Papers, HAL, number hal-02089698, Apr.
• Anna Denkowska & Stanis{l}aw Wanat, 2019, "Dependencies and systemic risk in the European insurance sector: Some new evidence based on copula-DCC-GARCH model and selected clustering methods," Papers, arXiv.org, number 1905.03273, May.
• Itzhak Ben-David & Ajay A. Palvia & René M. Stulz, 2019, "Do Distressed Banks Really Gamble for Resurrection?," NBER Working Papers, National Bureau of Economic Research, Inc, number 25794, May.
• Marco Bevilacqua & Francesco Cannata & Raffaele Arturo Cristiano & Simona Gallina & Michele Petronzi & Silvia Cardarelli, 2019, "The evolution of the Pillar 2 framework for banks: some thoughts after the financial crisis," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 494, Apr.
• Stefan Nagel & Amiyatosh Purnanandam, 2019, "Bank Risk Dynamics and Distance to Default," NBER Working Papers, National Bureau of Economic Research, Inc, number 25807, May.
• Mansur, Alfan, 2018, "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper, University Library of Munich, Germany, number 93300, Jan, revised 12 Apr 2018.
• Fabrizio Ferriani & Filippo Natoli & Giovanni Veronese & Federica Zeni, 2019, "Risk premium in the era of shale oil," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1215, Apr.
• Wang, Weijia, 2019, "A Pareto Criterion on Systemic Risk," MPRA Paper, University Library of Munich, Germany, number 93699, May.
• Larch, Martin & Cugnasca, Alessandro & Kumps, Diederik & Orseau, Eloïse, 2019, "Fiscal policy and the assessment of output gaps in real time: An exercise in risk management," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 19-013.
• Atwood, Joseph, , "Applications of Relaxed Constraint (RC) Models in Portfolio Optimization Subject to VaR, cVaR and Related Risk Constraints," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 288090, DOI: 10.22004/ag.econ.288090.
• Henri Loubergé & Yannick Malevergne & Béatrice Rey, 2019, "New Results for Additive and Multiplicative Risk Apportionment," Working Papers, HAL, number halshs-02100855.
• Borman, Julia & Vergara, Oscar & Desnoyers, Andrew, , "Overview of Updated and New Crop Risk Management Tools Available to Crop Insurers for the 2019 Crop Year," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 288088, DOI: 10.22004/ag.econ.288088.
• Heller, Yuval & Peleg Lazar, Sharon & Raviv, Alon, 2019, "A closed-form solution to the risk-taking motivation of subordinated debtholders," MPRA Paper, University Library of Munich, Germany, number 93698, Apr.
• Kerem Tuzcuoglu, 2019, "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers, Bank of Canada, number 19-16, May, DOI: 10.34989/swp-2019-16.
• Sung, Sangwook & Cho, Hoon & Ryu, Doojin, 2019, "Market runs of hedge funds during financial crises," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2019-31.
• Dominika Kolcunova & Simona Malovana, 2019, "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/2, Apr.
• Gong, Xuche & Hennessey, David & Feng, Hongli, , "Roles of Systemic Risk and Premium Subsidies in Choices Between Area and Individual Insurance Contracts," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 288083, DOI: 10.22004/ag.econ.288083.
• Sarno, Lucio & Mäkinen, Taneli & Zinna, Gabriele, 2019, "Risky Bank Guarantees," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13709, May.
• Cziraki, Peter & Xu, Moqi, 2020, "CEO turnover and volatility under long-term employment contracts," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100757, Sep.
• Babenko, Ilona & Bennett, Benjamin & Bizjak, John M. & Coles, Jeffrey L. & Sandvik, Jason J., 2019, "Clawback Provisions and Firm Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2019-13, Apr.
• Randriamarolo, Marie Rose & Lupton, Sylvie, , "Clarifying the Concept of Price Risk and Volatility, and its Role on Farmers' Decision Making: Application Based on French Milk Market," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 288091, DOI: 10.22004/ag.econ.288091.
• Zhang, Qiao & Wang, Ke & Li, Yue & Zuo, Xuan & Wang, Yueqin, , "Evaluation of Chinese Agricultural Insurance: The Perspective of Risk Protection," SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri, SCC-76: Economics and Management of Risk in Agriculture and Natural Resources, number 288099, DOI: 10.22004/ag.econ.288099.
• Federica Ciocchetta & Wanda Cornacchia, 2019, "Assessing financial stability risks from the real estate market in Italy: an update," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 493, Apr.
• Russo, Marianna & Bertsch, Valentin, 2018, "A looming revolution: Implications of self-generation for the risk exposure of retailers," Papers, Economic and Social Research Institute (ESRI), number WP597.
• Aikman, David & Giese, Julia & Kapadia, Sujit & McLeay, Michael, 2019, "Targeting financial stability: macroprudential or monetary policy?," Working Paper Series, European Central Bank, number 2278, May.
• Kotchikpa Gabriel Lawin & Lota Tamini, 2019, "Determinants of Crop Diversification in Burkina Faso - What is the Impact of Risk Preference?," CIRANO Working Papers, CIRANO, number 2019s-07, May.

Report NEP-RMG-2019-05-13

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: