Report NEP-RMG-2017-11-05

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:

• Wagner, Wolf & Schaeck, Klaus & Silva Buston, Consuelo, 2017. "The two faces of interbank correlation," CEPR Discussion Papers 12363, C.E.P.R. Discussion Papers.
• Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Dominique Guegan & Bertrand Hassani, 2017. "Regulatory Learning: how to supervise machine learning models? An application to credit scoring," Documents de travail du Centre d'Economie de la Sorbonne 17034r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2017.
• Jeanmarie Davis, 2017. "Coming together to address systemic risks: examples of collaboration: remarks at Risk USA 2017 Conference, New York City," Speech 258, Federal Reserve Bank of New York.
• Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2017. "Why Does Idiosyncratic Risk Increase with Market Risk?," CESifo Working Paper Series 6560, CESifo.
• Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2017. "Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR," THEMA Working Papers 2017-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
• Ruud A. De Mooij & Shafik Hebous, 2017. "Curbing Corporate Debt Bias: Do Limitations to Interest Deductibility Work?," CESifo Working Paper Series 6312, CESifo.
• Pedro G. Fonseca & Hugo D. Lopes, 2017. "Calibration of Machine Learning Classifiers for Probability of Default Modelling," Papers 1710.08901, arXiv.org.
• TOBBACK, Ellen & MARTENS, David, 2017. "Retail credit scoring using fine-grained payment data," Working Papers 2017011, University of Antwerp, Faculty of Business and Economics.
• Josef Schroth & Stephane Moyen, 2017. "Optimal Capital Regulation," 2017 Meeting Papers 828, Society for Economic Dynamics.
• Christoph Basten & Benjamin Guin & Cathérine Tahmee Koch, 2017. "How Do Banks and Households Manage Interest Rate Risk? Evidence from the Swiss Mortgage Market," CESifo Working Paper Series 6649, CESifo.
• Bridget McNally & Thomas O’Connor & Anne M Garvey, 2017. "Valuation of Defined Benefit Pension Schemes in IAS 19 Employee Benefits – True and Fair?," Economics Department Working Paper Series n287-17.pdf, Department of Economics, National University of Ireland - Maynooth.
• Park, Beum-Jo & Kim, Myung-Joong, 2017. "A Dynamic Measure of Intentional Herd Behavior in Financial Markets," MPRA Paper 82025, University Library of Munich, Germany.
• Xiaoji Lin & Xiaofei Zhao & Jack Favilukis, 2017. "The Elephant in the Room: the Impact of Labor Obligations on Credit Markets," 2017 Meeting Papers 896, Society for Economic Dynamics.
• Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.
• Susan Athey & Stefan Wager, 2017. "Policy Learning with Observational Data," Papers 1702.02896, arXiv.org, revised Sep 2020.