Report NEP-RMG-2015-05-09

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:

• Dietmar Pfeifer & Herv'e Awoumlac Tsatedem & Andreas Mandle & C^ome Girschig, 2015. "New copulas based on general partitions-of-unity and their applications to risk management," Papers 1505.00288, arXiv.org, revised Jan 2019.
• Bell, Peter N, 2015. "Returns to tail hedging," MPRA Paper 62160, University Library of Munich, Germany.
• Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
• Samim Ghamami, 2015. "Derivatives Pricing under Bilateral Counterparty Risk," Finance and Economics Discussion Series 2015-26, Board of Governors of the Federal Reserve System (U.S.).
• Beatriz Martínez & Hipòlit Torró, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Working Papers 2015.10, Fondazione Eni Enrico Mattei.
• Catalan, Mario & Demekas, Dimitri, 2015. "Challenges for Systemic Risk Assessment in Low-Income Countries," MPRA Paper 64125, University Library of Munich, Germany.
• Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
• Gregory Phelan, 2015. "Correlated Default and Financial Intermediation," Department of Economics Working Papers 2015-01, Department of Economics, Williams College, revised Sep 2016.
• Dijkman,Miquel, 2015. "Monitoring financial stability in developing and emerging economies : practical guidance for conducting macroprudential analysis," Policy Research Working Paper Series 7248, The World Bank.
• Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.
• António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
• Nicholas M. Kiefer & C. Erik Larson, 2015. "Counting Processes for Retail Default Modeling," CREATES Research Papers 2015-17, Department of Economics and Business Economics, Aarhus University.
• Kosowski, Robert & Joenväärä, Juha, 2015. "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers 10577, C.E.P.R. Discussion Papers.
• Qi Liu & Lei Lu & Bo Sun & Hongjun Yan, 2015. "A Model of Anomaly Discovery," International Finance Discussion Papers 1128, Board of Governors of the Federal Reserve System (U.S.).