Report NEP-RMG-2017-03-26

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Rama Cont & Eric Schaanning, 2017. "Fire sales, indirect contagion and systemic stress testing," Working Paper 2017/2, Norges Bank.
• Pankaj Baag, 2014. "Predicting The Probability Of Default Using Asset Correlation Of A Loan Portfolio," Working papers 151, Indian Institute of Management Kozhikode.
• Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Zaichao Du & Juan Carlos Escanciano & Guangwei Zhu, 2017. "Automatic Portmanteau Tests with Applications to Market Risk Management," CAEPR Working Papers 2017-002, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• de Ramon, Sebastian & Francis, William & Milonas, Kristoffer, 2017. "An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database," Bank of England working papers 652, Bank of England.
• Stijn Ferrari & Mara Pirovano & Wanda Cornacchia, 2015. "Identifying early warning indicators for real estate-related banking crises," ESRB Occasional Paper Series 08, European Systemic Risk Board.
• Kazutoshi Sugimura & Masaru Itatani & Masaki Bessho, 2017. "Scope of Re-hypothecation Regulation (Report of Workshops (3))," Bank of Japan Research Laboratory Series 17-E-3, Bank of Japan.
• Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
• W. Scott Frame & Atanas Mihov & Leandro Sanz, 2017. "Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations," FRB Atlanta Working Paper 2017-2, Federal Reserve Bank of Atlanta.
• Mehmet Balcilar & Deven Bathia & Riza Demirer & Rangan Gupta, 2017. "Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201719, University of Pretoria, Department of Economics.
• Shovan Chowdhury, 2014. "Compounded Generalized Weibull Distributions - A Unified Approach," Working papers 148, Indian Institute of Management Kozhikode.
• Paudyn, Bartholomew, 2015. "The struggle to perform the political economy of creditworthiness: European Union governance of credit ratings through risk," LSE Research Online Documents on Economics 59624, London School of Economics and Political Science, LSE Library.
• Shovan Chowdhury, 2016. "Type I Censored Acceptance Sampling Plan for the Generalized Weibull Model," Working papers 208, Indian Institute of Management Kozhikode.
• Jimut Bahan Chakrabarty & Shovan Chowdhury, 2016. "Compounded Inverse Weibull Distributions: Properties, Inference and Applications," Working papers 213, Indian Institute of Management Kozhikode.
• SAWADA Yasuyuki & MASAKI Tatsujiro & NAKATA Hiroyuki & SEKIGUCHI Kunio, 2017. "Corporate Disaster Risk Financing in Japan: Status quo and challenges (Japanese)," Policy Discussion Papers (Japanese) 17002, Research Institute of Economy, Trade and Industry (RIETI).
• Sander Barendse, 2017. "Interquantile Expectation Regression," Tinbergen Institute Discussion Papers 17-034/III, Tinbergen Institute.
• Alexander Lehmann, 2017. "Carving out legacy assets- a successful tool for bank restructuring?," Policy Contributions 19601, Bruegel.
• Dionne, Georges & Liu, Ying, 2017. "Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China," Working Papers 17-1, HEC Montreal, Canada Research Chair in Risk Management, revised 15 Oct 2019.
• International Monetary Fund, 2017. "Lebanon; Selected Issues," IMF Staff Country Reports 17/20, International Monetary Fund.