Report NEP-RMG-2015-02-28

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:

• Catalina Bolancé & Montserrat Guillén & Alemar Padilla, 2015. "Estimación del riesgo mediante el ajuste de cópulas," Working Papers 2015-01, Universitat de Barcelona, UB Riskcenter.
• Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2015. "The use of flexible quantile-based measures in risk assessment," Working Papers 2014-09, Universitat de Barcelona, UB Riskcenter.
• Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015. "The Impact Of Capital On Lending In Economic Downturns And Investor Protection – The Case Of Large Eu Banks," Faculty of Management Working Paper Series 62015, University of Warsaw, Faculty of Management.
• Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
• Alejandro Vargas Sanchez & Saulo Mostajo Castelú, 2014. "Application of internal ratings-based methods on credit risk measurement," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(1), pages 5-25.
• Sergio Edwin Torrico Salamanca, 2014. "Macro credit scoring as a proposal for quantifying credit risk," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(1), pages 42-64.
• J. Molins & E. Vives, 2015. "Model risk on credit risk," Papers 1502.06984, arXiv.org, revised Dec 2015.
• Hyejin Cho, 2015. "The Bank Capital Regulation (BCR) Model," Documents de travail du Centre d'Economie de la Sorbonne 15021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T. & Wang, Yihui, 2013. "Mark-to-market accounting and systemic risk: evidence from the insurance industry," LSE Research Online Documents on Economics 60968, London School of Economics and Political Science, LSE Library.
• Adrian, Tobias & Shin, Hyun Song, 2013. "Procyclical leverage and value-at-risk," LSE Research Online Documents on Economics 60972, London School of Economics and Political Science, LSE Library.
• Chris Henderson & William E. Jackson & William W. Lang, 2015. "Insider bank runs: community bank fragility and the financial crisis of 2007," Working Papers 15-9, Federal Reserve Bank of Philadelphia.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Imre Kondor & Fabio Caccioli & G'abor Papp & Matteo Marsili, 2015. "Contour map of estimation error for Expected Shortfall," Papers 1502.06217, arXiv.org.
• Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa, 2014. "Pricing sovereign credit risk of an emerging market," NBP Working Papers 189, Narodowy Bank Polski.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
• Repullo, Rafael, 2013. "Cyclical adjustment of capital requirements: a simple framework," LSE Research Online Documents on Economics 60969, London School of Economics and Political Science, LSE Library.
• Ásgeir Daníelsson, 2014. "Should Icelandic pension funds hedge currency risk in their foreign investments?," Economics wp65, Department of Economics, Central bank of Iceland.
• shafaai, Shafizal & Masih, Mansur, 2013. "Stock market and crude oil relationship: A wavelet analysis," MPRA Paper 62363, University Library of Munich, Germany.
• Stephan Dietrich & Marcela Ibanez, 2015. "Impact of Weather Insurance on Small Scale Farmers: A Natural Experiment," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 165, Courant Research Centre PEG.