Report NEP-RMG-2013-11-29

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:

• Kratz , Marie, 2013. "There is a VaR Beyond Usual Approximations," ESSEC Working Papers WP1317, ESSEC Research Center, ESSEC Business School.
• Arnold, Marc, 2013. "This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can t," Working Papers on Finance 1321, University of St. Gallen, School of Finance, revised Dec 2014.
• Olivier Bruno & Alexandra Girod, 2013. "Procyclicality and Bank Portfolio Risk Level under a Constant Leverage Ratio," GREDEG Working Papers 2013-35, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
• Giovanni Dell'Ariccia & Lev Ratnovski, 2013. "Bailouts and Systemic Insurance," IMF Working Papers 13/233, International Monetary Fund.
• Dale F Gray, 2013. "Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR," IMF Working Papers 13/218, International Monetary Fund.
• Daniel C Hardy & Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 13/232, International Monetary Fund.
• Sergio Masciantonio, 2013. "Identifying and tracking global, EU and Eurozone systemically important banks with public data," Questioni di Economia e Finanza (Occasional Papers) 204, Bank of Italy, Economic Research and International Relations Area.
• Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
• Eder, Armin & Keiler, Sebastian & Pichl, Hannes, 2013. "Interest rate risk and the Swiss solvency test," Discussion Papers 41/2013, Deutsche Bundesbank.
• Kyungsub Lee, 2013. "Recursive formula for arithmetic Asian option prices," Papers 1311.4969, arXiv.org.
• Sambracos, Evangelos & Maniati, Marina, 2013. "Shipping Market Financing: Special Features and the Impact of Basel III," MPRA Paper 51573, University Library of Munich, Germany.
• Broll, Udo & Wong, Wing-Keung & Wu, Mojia, 2013. "Banking Firm and Two-Moment Decision Making," MPRA Paper 51687, University Library of Munich, Germany.
• Courbage, Christophe & Rey, Béatrice & Treich, Nicolas, 2013. "Prevention and precaution," TSE Working Papers 13-445, Toulouse School of Economics (TSE).
• Dennis P Botman & Irineu E de Carvalho Filho & Waikei R Lam, 2013. "The Curious Case of the Yen as a Safe Haven Currency; A Forensic Analysis," IMF Working Papers 13/228, International Monetary Fund.
• Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.
• International Monetary Fund, 2013. "Singapore; Financial System Stability Assessment," IMF Staff Country Reports 13/325, International Monetary Fund.
• Abdullah Al-Hassan & Michael G. Papaioannou & Martin Skancke & Cheng Chih Sung, 2013. "Sovereign Wealth Funds; Aspects of Governance Structures and Investment Management," IMF Working Papers 13/231, International Monetary Fund.
• International Monetary Fund, 2013. "Costa Rica; Fiscal Transparency Assessment," IMF Staff Country Reports 13/316, International Monetary Fund.