Report NEP-RMG-2013-12-06

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:

• Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
• Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
• Ishiwatari, Mikio, 2013. "Disaster Risk Management at the National Level," ADBI Working Papers 448, Asian Development Bank Institute.
• Zuhair Bahraou & Catalina Bolancé & Ana M. Pérez-Marín, 2013. "Testing extreme value copulas to estimate the quantile," Working Papers XREAP2013-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2013.
• Syed Adeel Hussain, 2013. "Differentiation of Market Risk Characteristics among Sharia Compliant and Conventional Equities listed on the Pakistani Capital Market - KSE 100 Index over a selective time period," 2013 Papers phu395, Job Market Papers.
• Mathias Lé, 2013. "Deposit Insurance Adoption and Bank Risk-Taking: the Role of Leverage," PSE Working Papers halshs-00911415, HAL.
• Yury Dranev & Sofya Fomkina, 2013. "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia," HSE Working papers WP BRP 12/FE/2013, National Research University Higher School of Economics.
• Maria Rocha Sousa & João Gama & Elísio Brandão, 2013. "Introducing time-changing economics into credit scoring," FEP Working Papers 513, Universidade do Porto, Faculdade de Economia do Porto.
• Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
• Elms, Deborah Kay, 2013. "The Trans-Pacific Partnership Agreement: Looking Ahead to the Next Steps," ADBI Working Papers 447, Asian Development Bank Institute.
• Kok, Christoffer & Schepens, Glenn, 2013. "Bank reactions after capital shortfalls," Working Paper Series 1611, European Central Bank.
• Thorsten Drautzburg, 2013. "Entrepreneurial tail risk: implications for employment dynamics," Working Papers 13-45, Federal Reserve Bank of Philadelphia.
• Evangelos C. Charalambakis, 2013. "On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms," Working Papers 164, Bank of Greece.
• Sigrid Kallblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
• Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2013. "Optimal insurance purchase strategies via optimal multiple stopping times," Papers 1312.0424, arXiv.org.