Report NEP-RMG-2013-01-07

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:

• Claudio Fontana & Juan Miguel A. Montes, 2012. "A unified approach to pricing and risk management of equity and credit risk," Papers 1212.5395, arXiv.org, revised May 2013.
• Trapp, Monika & Wewel, Claudio, 2012. "Transatlantic systemic risk," CFR Working Papers 12-10, University of Cologne, Centre for Financial Research (CFR).
• María Rodríguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers 21/12, School of Economics and Business Administration, University of Navarra.
• Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
• Dominique Guegan & Bertrand K. Hassani, 2012. "An Autocorrelated Loss Distribution Approach: back to the time series," Documents de travail du Centre d'Economie de la Sorbonne 12091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Hazama, Makoto & Uesugi, Iichiro, 2012. "Measuring the Systemic Risk in Interfirm Transaction Networks," Working Paper Series 20, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University.
• Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers 1212.6732, arXiv.org, revised Dec 2013.
• David Murphy, 2012. "Maintaining Confidence," FMG Special Papers sp216, Financial Markets Group.
• Rainer Haidinger & Richard Warnung, 2012. "Risk Measures in a Regime Switching Model Capturing Stylized Facts," Papers 1212.4126, arXiv.org.
• Gurenko, Eugene N. & Itigin, Alexander & Wiechert, Renate, 2012. "Insurance risk transfer and categorization of reinsurance contracts," Policy Research Working Paper Series 6299, The World Bank.
• Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
• Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
• Ongena, Steven & Popov, Alexander & Udell, Gregory F., 2012. "When the cat's away the mice will play: does regulation at home affect bank risk taking abroad?," Working Paper Series 1488, European Central Bank.
• Friberg, Richard & Huse, Cristian, 2012. "How to use demand systems to evaluate risky projects, with an application to automobile production," CEPR Discussion Papers 9266, C.E.P.R. Discussion Papers.