Report NEP-RMG-2014-07-13

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:

• International Monetary Fund, 2014. "Canada; Financial Sector Stability Assessment," IMF Staff Country Reports 14/29, International Monetary Fund.
• Albert J. Menkveld, 2014. "Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties," Tinbergen Institute Discussion Papers 14-065/IV/DSF75, Tinbergen Institute.
• Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Alessandro Ramponi, 2014. "On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility," Papers 1407.1072, arXiv.org.
• Item repec:dgr:uvatin:20140054 is not listed on IDEAS anymore

• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
• International Monetary Fund, 2014. "Malaysia; Financial Sector Assessment Program Banking System Spillovers-Technical Note," IMF Staff Country Reports 14/95, International Monetary Fund.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• International Monetary Fund, 2014. "Austria; Publication of Financial Sector Assessment Program Documentation—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 14/16, International Monetary Fund.
• Adlane HAFFAR & Lubica HIKKEROVA, 2014. "Gestion et titrisation des risques de catastrophe naturelle par les options," Working Papers 2014-384, Department of Research, Ipag Business School.
• Natasha X Che & Yoko Shinagawa, 2014. "Financial Soundness Indicators and the Characteristics of Financial Cycles," IMF Working Papers 14/14, International Monetary Fund.
• René M. Stulz, 2014. "Governance, Risk Management, and Risk-Taking in Banks," NBER Working Papers 20274, National Bureau of Economic Research, Inc.
• Luc Laeven & Lev Ratnovski & Hui Tong, 2014. "Bank Size and Systemic Risk," IMF Staff Discussion Notes 14/4, International Monetary Fund.
• International Monetary Fund, 2014. "Bolivia; Fiscal Transparency Assessment," IMF Staff Country Reports 14/77, International Monetary Fund.
• International Monetary Fund, 2014. "People’s Republic of China––Hong Kong Special Administrative Region; Financial System Stability Assessment," IMF Staff Country Reports 14/130, International Monetary Fund.
• Jeanne Gobat & Mamoru Yanase & Joseph Maloney, 2014. "The Net Stable Funding Ratio; Impact and Issues for Consideration," IMF Working Papers 14/106, International Monetary Fund.
• Zsofia Arvai & Ananthakrishnan Prasad & Kentaro Katayama, 2014. "Macroprudential Policy in the GCC Countries," IMF Staff Discussion Notes 14/1, International Monetary Fund.
• International Monetary Fund, 2014. "Switzerland; Financial Sector Stability Assessment," IMF Staff Country Reports 14/143, International Monetary Fund.
• International Monetary Fund, 2014. "Barbados; Financial System Stability Assessment," IMF Staff Country Reports 14/53, International Monetary Fund.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Stijn Claessens & Laura E. Kodres, 2014. "The Regulatory Responses to the Global Financial Crisis; Some Uncomfortable Questions," IMF Working Papers 14/46, International Monetary Fund.
• Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
• Brenda Gonzalez-Hermosillo & Christian A Johnson, 2014. "Transmission of Financial Stress in Europe; The Pivotal Role of Italy and Spain, but not Greece," IMF Working Papers 14/76, International Monetary Fund.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.
• International Monetary Fund, 2014. "Algeria; Financial System Stability Assessment," IMF Staff Country Reports 14/161, International Monetary Fund.
• Langenmayr, Dominika & Lester, Rebecca, 2014. "Taxation and Corporate Risk-Taking," Discussion Papers in Economics 20977, University of Munich, Department of Economics.
• International Monetary Fund, 2014. "El Salvador; Technical Note on Safety Nets and Crisis Management Arrangements," IMF Staff Country Reports 14/46, International Monetary Fund.