Report NEP-RMG-2013-02-03

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, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• V. De Bruyckere & M. Gerhardt & G. Schepens & R. Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/828, Ghent University, Faculty of Economics and Business Administration.
• Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
• Sebastian Poledna & Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2013. "Leverage-induced systemic risk under Basle II and other credit risk policies," Papers 1301.6114, arXiv.org, revised Jan 2014.
• Alford, Duncan, 2013. "International Financial Reforms: Capital Standards, Resolution Regimes and Supervisory Colleges, and their Effect on Emerging Markets," ADBI Working Papers 402, Asian Development Bank Institute.
• Paola Cerchiello & Paolo Giudici, 2013. "Bayesian Credit Ratings (new version)," DEM Working Papers Series 030, University of Pavia, Department of Economics and Management.
• Marcelo Bianconi & Joe A. Yoshino, 2013. "Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector," Discussion Papers Series, Department of Economics, Tufts University 0773, Department of Economics, Tufts University.
• Alexander Zimper, 2013. "The minimal confidence levels of Basel capital regulation," Working Papers 201305, University of Pretoria, Department of Economics.
• John Thanassoulis, 2012. "Bank Pay Caps, Bank Risk, and Macroprudential Regulation," Economics Series Working Papers 636, University of Oxford, Department of Economics.
• López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall derivatives at the CME," SFB 649 Discussion Papers 2013-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Jean-Philippe Chancelier & Bernard Lapeyre & Jérôme Lelong, 2014. "Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture," Post-Print hal-00447845, HAL.
• Stefan Thurner & Sebastian Poledna, 2013. "DebtRank-transparency: Controlling systemic risk in financial networks," Papers 1301.6115, arXiv.org.
• Christopher L. Colvin & Abe de Jong & Philip T. Fliers, 2013. "Predicting the Past: Understanding the Causes of Bank Distress in the Netherlands in the 1920s," Working Papers 0035, European Historical Economics Society (EHES).
• James R. Barth & Gerard Caprio, Jr. & Ross Levine, 2013. "Bank Regulation and Supervision in 180 Countries from 1999 to 2011," NBER Working Papers 18733, National Bureau of Economic Research, Inc.
• Sabine Karl & Tom Fischer, 2013. "Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability," Papers 1301.6069, arXiv.org.