Report NEP-RMG-2015-03-22

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Genest, Benoit & Cao, Zhili, 2014. "Value-at-Risk in turbulence time," MPRA Paper 62906, University Library of Munich, Germany.
• Oliver Kley & Claudia Kluppelberg, 2015. "Bounds for randomly shared risk of heavy-tailed loss factors," Papers 1503.03726, arXiv.org, revised Apr 2016.
• Genest, benoit & Fares, Ziad, 2014. "Optimization of Post-Scoring Classification and Impact on Regulatory Capital for Low Default Portfolios," MPRA Paper 62907, University Library of Munich, Germany.
• Zigrand, Jean-Pierre, 2014. "Systems and systemic risk in finance and economics," LSE Research Online Documents on Economics 61220, London School of Economics and Political Science, LSE Library.
• Smaga, Pawel, 2014. "The concept of systemic risk," LSE Research Online Documents on Economics 61214, London School of Economics and Political Science, LSE Library.
• Larsson, Bo & Wijkander, Hans, 2015. "Dynamic Banking with Endogenous Risk Based Funding Cost: Value Maximization, Risk-taking, Responses to Regulation and Credit Contraction," Research Papers in Economics 2015:3, Stockholm University, Department of Economics.
• Thimann, Christian, 2014. "How insurers differ from banks: a primer on systemic regulation," LSE Research Online Documents on Economics 61218, London School of Economics and Political Science, LSE Library.
• Hirbod Assa, 2015. "Optimal risk allocation in a market with non-convex preferences," Papers 1503.04460, arXiv.org.
• Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2015.
• Genest, Benoit & Rego, David & Freon, Helene, 2013. "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper 62908, University Library of Munich, Germany.
• Szűcs, Balázs Árpád & Váradi, Kata, 2015. "Measuring and managing liquidity risk in the Hungarian practice," Corvinus Economics Working Papers (CEWP) 2015/03, Corvinus University of Budapest.
• Alaabed, Alaa & Masih, Mansur, 2014. "Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry," MPRA Paper 62991, University Library of Munich, Germany.
• Daniel Snethlage, 2015. "Towards Putting a Price on the Risk of Bank Failure," Treasury Working Paper Series 15/03, New Zealand Treasury.
• Albane Tarnaud & Hervé Leleu, 2015. "A DEA-financial technology: prior to portfolio analysis with DEA," Working Papers 2015-EQM-02, IESEG School of Management.
• Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper 62932, University Library of Munich, Germany.
• Genest, benoit & Fares, Ziad & Gombert, Arnault, 2014. "Dynamic Stress Test Diffusion Model Considering the Credit Score Performance," MPRA Paper 62905, University Library of Munich, Germany.
• Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
• Alexandra Heath & Gerard Kelly & Mark Manning, 2015. "Central Counterparty Loss Allocation and Transmission of Financial Stress," RBA Research Discussion Papers rdp2015-02, Reserve Bank of Australia.
• Hasan, Zubair, 2014. "Risk sharing versus risk transfer in Islamic finance: revised," MPRA Paper 62826, University Library of Munich, Germany, revised Mar 2015.
• Ziemba, Bill & Lleo, Sebastien, 2014. "How to lose money in derivatives: examples from hedge funds and bank trading departments," LSE Research Online Documents on Economics 61219, London School of Economics and Political Science, LSE Library.
• Chiara Corini & Guglielmo D'Amico & Filippo Petroni & Flavio Prattico & Raimondo Manca, 2015. "Tornadoes and related damage costs: statistical modeling with a semi-Markov approach," Papers 1503.05127, arXiv.org.