Report NEP-RMG-2015-03-13

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:

• Gurrola-Perez, Pedro & Murphy, David, 2015. "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers 525, Bank of England.
• M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni, 2015. "A Quantization Approach to the Counterparty Credit Exposure Estimation," Papers 1503.01754, arXiv.org.
• Laniado Rodas, Henry, 2015. "A Directional Multivariate Value at Risk," DES - Working Papers. Statistics and Econometrics. WS ws1501, Universidad Carlos III de Madrid. Departamento de Estadística.
• Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
• Ojo, Marianne, 2015. "Implementing Basel III through the Capital Requirements Directive (CRD) IV: leverage ratios and capital adequacy requirements," MPRA Paper 62635, University Library of Munich, Germany.
• Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
• Hernández del Valle Gerardo & Pacheco-González Carlos, 2014. "Valuation of credit default swaps via Bessel bridges," Working Papers 2014-27, Banco de México.
• Amogh Deshpande & Saul D. Jacka, 2015. "Game-theoretic approach to risk-sensitive benchmarked asset management," Papers 1503.01802, arXiv.org.
• Brown, Martin & Schaller, Matthias & Westerfeld, Simone & Heusler, Markus, 2015. "Internal Control and Strategic Communication within Firms – Evidence from Bank Lending," Working Papers on Finance 1504, University of St. Gallen, School of Finance, revised Jul 2015.
• Jones, Clive, 2015. "Predictability of the daily high and low of the S&P 500 index," MPRA Paper 62664, University Library of Munich, Germany.
• Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
• Erhan Bayraktar & Virginia R. Young & David Promislow, 2015. "Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case," Papers 1503.02237, arXiv.org.