Report NEP-RMG-2013-01-19

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
• Ignacio Cascos & Ilya Molchanov, 2013. "Multivariate risk measures: a constructive approach based on selections," Papers 1301.1496, arXiv.org, revised Jul 2016.
• Dominique Guegan & Bertrand Hassani, 2013. "Using a time series approach to correct serial correlation in operational risk capital calculation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00771387, HAL.
• Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
• Cihak, Martin & Demirguc-Kunt, Asli & Johnston, R. Barry, 2013. "Incentive audits : a new approach to financial regulation," Policy Research Working Paper Series 6308, The World Bank.
• Frédéric Abergel, 2013. "Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims," Working Papers hal-00771528, HAL.
• Phillip Monin, 2013. "On a dynamic adaptation of the Distribution Builder approach to investment decisions," Papers 1301.0907, arXiv.org.
• Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
• Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
• Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2012. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Working Papers hal-00768526, HAL.
• Bertrand Candelon & Guillaume Gaulier & Christophe Hurlin, 2012. "Extreme Financial Cycles," Working Papers halshs-00769817, HAL.
• Cho, In Soo, 2013. "Are Risk Attitudes Fixed Factors or Fleeting Feelings?," Staff General Research Papers Archive 35751, Iowa State University, Department of Economics.
• Matthies, Alexander B., 2013. "Empirical research on corporate credit-ratings: A literature review," SFB 649 Discussion Papers 2013-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.