Report NEP-RMG-2015-01-31

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:

• Paul H. Kupiec, 2015. "Testing for systemic risk using stock returns," AEI Economics Working Papers 828488, American Enterprise Institute.
• Samim Ghamami & Bo Zhang, 2014. "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Finance and Economics Discussion Series 2014-114, Board of Governors of the Federal Reserve System (U.S.).
• Haim Shalit, 2014. "Measuring Risk In Israeli Mutual Funds: Conditional Value-At-Risk Vs. Aumann-Serrano Riskiness Index," Working Papers 1409, Ben-Gurion University of the Negev, Department of Economics.
• Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
• Rohini Kumar, 2015. "Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures," Papers 1501.04548, arXiv.org.
• International Monetary Fund, 2015. "Georgia; Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 15/7, International Monetary Fund.
• Zhou, Richard, 2015. "Modeling Path Dependent Counterparty Credit Risk," MPRA Paper 61354, University Library of Munich, Germany.
• Piotr Arendarski & Paweł Misiewicz & Mariusz Nowak & Tomasz Skoczylas & Robert Wojciechowski, 2014. "Generalized Momentum Asset Allocation Model," Working Papers 2014-30, Faculty of Economic Sciences, University of Warsaw.
• Ojo, Marianne, 2015. "The unintended consequences and challenges of the Basel III Leverage Ratio: supplementary leverage ratios," MPRA Paper 61330, University Library of Munich, Germany.
• Lukas Menkhoff & Sahra Sakha, 2014. "Multiple-Item Risk Measures," Kiel Working Papers 1980, Kiel Institute for the World Economy.
• International Monetary Fund, 2015. "Georgia; Financial Sector Assessment Program-Detailed Assessment of Observance of the Basel Core Principles for Effective Banking Supervision-Technical Note," IMF Staff Country Reports 15/10, International Monetary Fund.
• Richard Simper & Maximilian J.B. Hall & Wenbin B. Liu & Valentin Zelenyuk & Zhongbao Zhou, 2014. "How Relevant is the Choice of Risk Management Control Variable to Non-parametric Bank Profit Efficiency Analysis?," CEPA Working Papers Series WP122014, School of Economics, University of Queensland, Australia.
• Arata, Linda & Donati, Michele & Sckokai, Paolo & Arfini, Filippo, 2014. "Incorporating risk in a positive mathematical programming framework: a new methodological approach," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182659, European Association of Agricultural Economists.
• International Monetary Fund, 2015. "Republic of Korea; Financial Sector Assessment Program-Crisis Preparedness and Crisis Management Framework-Technical Note," IMF Staff Country Reports 15/5, International Monetary Fund.
• Zgajnar, Jaka, 2014. "Simulation model for income risk analyses at the sector level, case of Slovenia," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 186381, European Association of Agricultural Economists.
• Mark, Tyler B. & Burdine, Kenneth, 2015. "Will the New Dairy Margin Protection Program Reduce Risk for Dairies?," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196878, Southern Agricultural Economics Association.
• Kelly, Robert & O'Malley, Terry & O'Toole, Conor, 2014. "Do first time buyers default less? Implications for macro-prudential policy," Economic Letters 14/EL/14, Central Bank of Ireland.
• Luisa Zanforlin & Nobuyuki Kanazawa, 2014. "Market Signals and the Cost of Credit Risk Protection; An Analysis of CDS Settlement Auctions," IMF Working Papers 14/239, International Monetary Fund.
• Yener Altunbas & Alper Kara & Aydin Ozkan, 2014. "Securitisation and banking risk: What do we know so far?," Working Papers 14006, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
• P Simmons (York) & N Tantisantiwong (Southampton), 2014. "Default and Risk Premia in Microfinance Group Lending," Discussion Papers 14/28, Department of Economics, University of York.
• Oliver Levine & Brent Glover, 2014. "Idiosyncratic Risk and the Manager," 2014 Meeting Papers 736, Society for Economic Dynamics.