Report NEP-RMG-2014-10-22

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:

• O. de Bandt & N. Dumontaux & V. Martin & D. Médée, 2013. "Stress-testing banks’ corporate credit portfolio," Débats économiques et financiers 1, Banque de France.
• Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Working Papers 2014-590, Department of Research, Ipag Business School.
• Fabio Filipozzi & Kersti Harkmann, 2014. "Currency hedge – walking on the edge?," Bank of Estonia Working Papers wp2014-5, Bank of Estonia, revised 10 Oct 2014.
• Raphael Hauser & Sergey Shahverdyan & Paul Embrechts, 2014. "A General Duality Relation with Applications in Quantitative Risk Management," Papers 1410.0852, arXiv.org.
• Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Forward looking banking stress in EMU countries," Working Papers 14-10, Asociación Española de Economía y Finanzas Internacionales.
• M. Brun & H. Fraisse & D. Thesmar, 2013. "The Real Effects of Bank Capital Requirements," Débats économiques et financiers 8, Banque de France.
• Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic, 2014. "Evaluating the performance of VaR models in energy markets," HSC Research Reports HSC/14/12, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
• Andries, Alin Marius & Brown, Martin, 2014. "Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk Managment," Working Papers on Finance 1414, University of St. Gallen, School of Finance.
• Selman Erol & Rakesh Vohra, 2014. "Network Formation and Systemic Risk," PIER Working Paper Archive 14-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Matteo Formenti, 2014. "Mean of Ratios or Ratio of Means: statistical uncertainty applied to estimate Multiperiod Probability of Defaul," Papers 1409.4896, arXiv.org.
• Magali Pedro Costa & Cesaltina Maria Pacheco Pires, 2014. "Capital Structure, Product Market Competition and Default Risk," CEFAGE-UE Working Papers 2014_14, University of Evora, CEFAGE-UE (Portugal).
• Lena Kitzing & Christoph Weber, "undated". "Support mechanisms for renewables: How risk exposure influences investment incentives," EWL Working Papers 1403, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Aug 2014.
• Item repec:ipg:wpaper:2014-586 is not listed on IDEAS anymore

• Dumitru-Catalin BURSUC & Cristian TEODORESCU, 2013. "Considerations Regarding The Processual Approach To Risk In The Military Organization," Proceedings of the 8-th International Conference on Knowledge Management: Projects, Systems and Technologies, Bucharest, November 7-8, 2013. 5, Faculty of Economic Cybernetics, Statistics and Informatics, Academy of Economic Studies from Bucharest and "Carol I-st" National Defence University, Department for Management of the Defence Resources and Education.
• Vanessa Hoffmann de Quadros & Juan Carlos Gonz'alez-Avella & Jos'e Roberto Iglesias, 2014. "Propagation of Systemic Risk in Interbank Networks," Papers 1410.2549, arXiv.org.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies," Working Papers 2014-26, Faculty of Economic Sciences, University of Warsaw.
• Jose Apesteguia & Miguel A. Ballester, 2014. "Discrete choice estimation of risk aversion," Economics Working Papers 1443, Department of Economics and Business, Universitat Pompeu Fabra.
• Andries M. & Cassin G. & Bahhaouy A. & Philippe F. & Foratier Y. & Lopez Vernaza A. & Rigodanzo F., 2013. "The risks associated with cloud computing," Analyse et synthèse 16, Banque de France.
• Krzysztof Urbanowicz, 2014. "Entropy and Optimization of Portfolios," Papers 1409.7002, arXiv.org.