Report NEP-RMG-2014-04-05

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:

• Colliard, Jean-Edouard, 2014. "Rational blinders: strategic selection of risk models and bank capital regulation," Working Paper Series 1641, European Central Bank.
• Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00969242, HAL.
• Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
• Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers 2014/310, University of Barcelona School of Economics.
• Jose J. Canals-Cerda & Sougata Kerr, 2014. "Forecasting credit card portfolio losses in the Great Recession: a study in model risk," Working Papers 14-10, Federal Reserve Bank of Philadelphia.
• Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
• Jaehyung Choi, 2014. "Maximum drawdown, recovery, and momentum," Papers 1403.8125, arXiv.org, revised Sep 2021.
• Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
• Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "An agent-based computational model for China's stock market and stock index futures market," Papers 1404.1052, arXiv.org.
• Zhenyu Cui, 2014. "Omega risk model with tax," Papers 1403.7680, arXiv.org.
• Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers, 2014. "Are credit ratings time-homogeneous and Markov?," Papers 1403.8018, arXiv.org, revised Oct 2014.
• Pablo D'Erasmo & Ryan A. Decker & Herman J. Moscoso Boedo, 2014. "Market exposure and endogenous firm volatility over the business cycle," Working Papers 14-12, Federal Reserve Bank of Philadelphia.
• Ralph S. J. Koijen & Motohiro Yogo, 2014. "Growing Risk in the Insurance Sector," Economic Policy Paper 14-2, Federal Reserve Bank of Minneapolis.
• Daniel Harenberg & Alexander Ludwig, 2014. "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series 14/193, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
• Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.
• Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014. "Commonality in hedge fund returns: driving factors and implications," Working Paper Series 1658, European Central Bank.
• Labonne, C. & Lamé, G., 2014. "Credit Growth and Bank Capital Requirements: Binding or Not?," Working papers 481, Banque de France.