Report NEP-RMG-2015-01-14

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:

• Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
• Chaudhary, Dinesh, 2014. "Sensitivity analysis of scenario models for operational risk Advanced Measurement Approach," MPRA Paper 60996, University Library of Munich, Germany.
• International Monetary Fund, 2014. "Denmark; Financial System Stability Assessment," IMF Staff Country Reports 14/336, International Monetary Fund.
• Daniel C Hardy & Philipp Hochreiter, 2014. "A Simple Macroprudential Liquidity Buffer," IMF Working Papers 14/235, International Monetary Fund.
• John W. Muteba Mwamba & Shawkat Hammoudeh & Rangan Gupta, 2014. "Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes," Working Papers 201480, University of Pretoria, Department of Economics.
• International Monetary Fund, 2014. "Denmark; Crisis Management, Bank Resolution, and Financial Sector Safety Nets: Technical Note," IMF Staff Country Reports 14/351, International Monetary Fund.
• Voloshyn, Ihor & Lubich, Oleksandr, 2014. "Методологічні Проблеми Фінансового Управління В Банківському Секторі України: Уроки Кризи [Methodological problems of financial management in Ukraine's banking sector: lessons of the crisis]," MPRA Paper 60982, University Library of Munich, Germany.
• Donald Geman & H'elyette Geman & Nassim Nicholas Taleb, 2014. "Tail Risk Constraints and Maximum Entropy," Papers 1412.7647, arXiv.org.
• Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
• Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Sergio R. Stancato de Souza, 2014. "Capital Requirements, Liquidity and Financial Stability: the case of Brazil," Working Papers Series 375, Central Bank of Brazil, Research Department.
• António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF, Faculty of Economics, University of Coimbra.
• L. Clerc & A. Derviz & C. Mendicino & S. Moyen & K. Nikolov & L. Stracca & J. Suarez & A. P. Vardoulakis, 2014. "Capital Regulation in a Macroeconomic Model with Three Layers of Default," Working papers 533, Banque de France.
• Mihaly Ormos & David Zibriczky, 2015. "Entropy-Based Financial Asset Pricing," Papers 1501.01155, arXiv.org.
• Bradley Jones, 2014. "Identifying Speculative Bubbles; A Two-Pillar Surveillance Framework," IMF Working Papers 14/208, International Monetary Fund.
• Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2014. "Common Factors in Return Seasonalities," NBER Working Papers 20815, National Bureau of Economic Research, Inc.
• Anton Korinek & Damiano Sandri, 2014. "Capital Controls or Macroprudential Regulation?," NBER Working Papers 20805, National Bureau of Economic Research, Inc.
• In W Song & Carel Oosthuizen, 2014. "Islamic Banking Regulation and Supervision; Survey Results and Challenges," IMF Working Papers 14/220, International Monetary Fund.