Report NEP-RMG-2012-08-23

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:

• Dominique Guegan & Wayne Tarrant, 2012. "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721350, HAL.
• Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721339, HAL.
• Dominique Guegan & Bertrand Hassani, 2012. "Operational risk : A Basel II++ step before Basel III," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00722029, HAL.
• Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
• D. Yıldırım, Burcu & Coskun, Yener & Caglar, Ozan & Yıldırak, Kasırga, 2012. "How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?," MPRA Paper 40600, University Library of Munich, Germany.
• Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.
• Blakespoor, Elizabeth & Linsmeier, Thomas J. & Petroni, Kathy & Shakespeare, Catherine, 2012. "Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?," Research Papers 2107, Stanford University, Graduate School of Business.
• Germán López-Espinosa & Antonio Rubia & Laura Valderrama & Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers 12/152, International Monetary Fund.
• Yener, Coskun, 2012. "Financial Failures and Risk Management," MPRA Paper 40594, University Library of Munich, Germany.
• Item repec:dgr:uvatin:20120057 is not listed on IDEAS anymore

• Nassim N. Taleb & Raphael Douady, 2012. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Papers 1208.1189, arXiv.org.
• Kasper Lund-Jensen, 2012. "Monitoring Systemic Risk Basedon Dynamic Thresholds," IMF Working Papers 12/159, International Monetary Fund.
• Piu Banerjee & Jose J. Canals-Cerda, 2012. "Credit risk analysis of credit card portfolios under economic stress conditions," Working Papers 12-18, Federal Reserve Bank of Philadelphia.
• Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
• Marco Bardoscia, 2012. "A Dynamical Model for Operational Risk in Banks," Papers 1207.6186, arXiv.org.
• Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
• Zhen Shi & Bas J.M. Werker, 2011. "Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation," Tinbergen Institute Discussion Papers 11-053/2/DSF17, Tinbergen Institute.
• Luiz Awazu Pereira da Silva & Ricardo Eyer Harris, 2012. "Financial Stability in Brazil," Working Papers Series 289, Central Bank of Brazil, Research Department.
• Lönnbark, Carl, 2012. "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies 844, Umeå University, Department of Economics.
• Alessandro Ramponi, 2012. "Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach," Papers 1207.6759, arXiv.org.
• Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
• Tianxiao Wang, 2012. "Risk minimizing of derivatives via dynamic g-expectation and related topics," Papers 1208.2068, arXiv.org.
• Goodwin, Barry K., 2012. "Agricultural Markets and Risk Management Tools," 126th Seminar, June 27-29, 2012, Capri, Italy 128207, European Association of Agricultural Economists.