Report NEP-RMG-2012-09-30

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:

• Zimmer, Anja & Gründl, Helmut & Schade, Christian, 2012. "Be as safe as possible: A behavioral approach to the optimal corporate risk strategy of insurers," ICIR Working Paper Series 06/11, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Suarez, Javier & Martinez-Miera, David, 2012. "A Macroeconomic Model of Endogenous Systemic Risk Taking," CEPR Discussion Papers 9134, C.E.P.R. Discussion Papers.
• Amaya, Diego & Gauthier, Geneviève & Léautier, Thomas-Olivier, 2012. "Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions," IDEI Working Papers 737, Institut d'Économie Industrielle (IDEI), Toulouse.
• Fischer, Katharina & Schlütter, Sebastian, 2012. "Optimal investment strategies for insurance companies in the presence of standardised capital requirements," ICIR Working Paper Series 09/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Olga Kokshagina & Pascal Le Masson & Benoit Weil & Patrick Cogez, 2012. "Risk Management strategies in a highly uncertain environment: undesrtanding the role of common unknown," Post-Print hal-00734100, HAL.
• Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
• Höring, Dirk, 2012. "Will Solvency II market risk requirements bite? The impact of Solvency II on insurers' asset allocation," ICIR Working Paper Series 11/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Alois Pichler, 2012. "Spectral Risk Measures, With Adaptions For Stochastic Optimization," Papers 1209.3570, arXiv.org.
• Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012. "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers 1209.3513, arXiv.org, revised Mar 2015.
• Marco Cipriani & Michael Holscher & Antoine Martin & Patrick E. McCabe, 2012. "The minimum balance at risk: a proposal to mitigate the systemic risks posed by money market funds," Staff Reports 564, Federal Reserve Bank of New York.
• Stoyanova, Rayna & Schlütter, Sebastian, 2012. "Safety versus affordability as targets of insurance regulation in an opaque market: A welfare approach," ICIR Working Paper Series 10/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
• Léautier, Thomas-Olivier & Rochet, Jean-Charles, 2012. "On the strategic value of risk management," IDEI Working Papers 739, Institut d'Économie Industrielle (IDEI), Toulouse.
• Campbell, John Y & Ranish, Benjamin, 2012. "How Do Regulators Influence Mortgage Risk? Evidence from an Emerging Market," CEPR Discussion Papers 9136, C.E.P.R. Discussion Papers.
• Bruno Cara Giovannetti & Guilherme B. Martins, 2012. "Do Margin Requirements Affect Asset Prices?," Working Papers, Department of Economics 2012_17, University of São Paulo (FEA-USP).
• Zhang Li & Ilya Pollak, 2012. "Sparsifying Defaults: Optimal Bailout Policies for Financial Networks in Distress," Papers 1209.3982, arXiv.org.
• Olga Kokshagina & Pascal Le Masson & Benoit Weil & Patrick Cogez, 2012. "Platform emergence in double unknown: Common challenge strategy," Post-Print hal-00734111, HAL.
• Jesse Tack & Rulon Pope & Jeffrey LaFrance & Timothy Graciano & Scott Colby, 2012. "Intertemporal Risk Management in Agriculture," Monash Economics Working Papers 16-12, Monash University, Department of Economics.