Report NEP-RMG-2014-02-08

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:

• Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Pricing Default Risk: The Good, The Bad, and The Anomaly," MPRA Paper 53373, University Library of Munich, Germany.
• Samuel E. Vazquez, 2014. "Option Pricing, Historical Volatility and Tail Risks," Papers 1402.1255, arXiv.org.
• Sebastian Poledna & Stefan Thurner, 2014. "Elimination of systemic risk in financial networks by means of a systemic risk transaction tax," Papers 1401.8026, arXiv.org, revised Feb 2016.
• Stanislav S. Borysov & Alexander V. Balatsky, 2014. "Cross-correlation asymmetries and causal relationships between stock and market risk," Papers 1401.8106, arXiv.org, revised Jul 2014.
• Silvia Figini & Mario Maggi, 2014. "Performance of credit risk prediction models via proper loss functions," DEM Working Papers Series 064, University of Pavia, Department of Economics and Management.
• Kamil Yilmaz, 2014. "Volatility Connectedness of Bank Stocks Across the Atlantic," Koç University-TUSIAD Economic Research Forum Working Papers 1402, Koc University-TUSIAD Economic Research Forum.