Report NEP-RMG-2015-02-11

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:

• Toshinao Yoshiba, 2015. "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series 15-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
• Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015. "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers 484, Bank for International Settlements.
• Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
• Jose J. Canals-Cerda & Sougata Kerr, 2015. "Credit risk modeling in segmented portfolios: an application to credit cards," Working Papers 15-8, Federal Reserve Bank of Philadelphia.
• Perignon , Christophe & Yeung , Stanley & Hurlin, Christophe & Iseli, Grégoire, 2014. "The Collateral Risk of ETFs," HEC Research Papers Series 1050, HEC Paris.
• Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
• Iosifidi, Maria & Kokas, Sotirios, 2015. "Who lends to riskier and lower-profitability firms? Evidence from the syndicated loan market," MPRA Paper 61942, University Library of Munich, Germany.
• Izhar, Hylmun, 2015. "Measuring Operational Risk Exposures In Islamic Banking: A Proposed Measurement Approach," Working Papers 1432-3, The Islamic Research and Teaching Institute (IRTI).
• Tasca, Paolo & Battiston, Stefano, 2014. "Diversification and financial stability," LSE Research Online Documents on Economics 59297, London School of Economics and Political Science, LSE Library.
• Guillaume Plantin, 2014. "Shadow Banking and Bank Capital Regulation," Working Papers 322014, Hong Kong Institute for Monetary Research.
• Vilsmeier, Johannes, 2014. "Updating the option implied probability of default methodology," Discussion Papers 43/2014, Deutsche Bundesbank.
• Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
• Suarez, Javier & Derviz, Alexis & Nikolov, Kalin & Clerc, Laurent & Mendicino, Caterina & Stracca, Livio & Vardoulakis, Alexandros & Moyen, Stéphane, 2014. "Capital Regulation in a Macroeconomic Model with Three Layers of Default," CEPR Discussion Papers 10316, C.E.P.R. Discussion Papers.
• Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Documents de travail du Centre d'Economie de la Sorbonne 14093, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
• Conrad, Christian & Mammen , Enno, 2015. "Asymptotics for parametric GARCH-in-Mean Models," Working Papers 0579, University of Heidelberg, Department of Economics.
• Catalina Bolancé & Zuhair Bahraoui & Ramon Alemany, 2015. "Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches," Working Papers XREAP2015-01, Xarxa de Referència en Economia Aplicada (XREAP), revised Jan 2015.
• Sgouropoulos, Nikolaos & Yao, Qiwei & Yastremiz, Claudia, 2015. "Matching a distribution by matching quantiles estimation," LSE Research Online Documents on Economics 57221, London School of Economics and Political Science, LSE Library.
• Michael Ho & Zheng Sun & Jack Xin, 2015. "Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation," Papers 1502.01658, arXiv.org, revised Oct 2015.