Report NEP-RMG-2015-05-16

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:

• Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
• Amir Memartoluie & David Saunders & Tony Wirjanto, 2015. "Wrong-Way Bounds in Counterparty Credit Risk Management," Papers 1505.02292, arXiv.org.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries," Documents de travail du Centre d'Economie de la Sorbonne 15040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Ramin Okhrati & Alejandro Balb'as & Jos'e Garrido, 2015. "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Papers 1505.03501, arXiv.org.
• Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".
• Marius Hofert & Amir Memartoluie & David Saunders & Tony Wirjanto, 2015. "Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm," Papers 1505.02281, arXiv.org, revised Dec 2015.
• Grupp, Marcel, 2015. "On the impact of leveraged buyouts on bank systemic risk," SAFE Working Paper Series 101, Leibniz Institute for Financial Research SAFE.
• Irina-Raluca Badea, 2015. "Safeguarding the Banking System - a New Perspective on the Consolidation of the Macroprudential Regulation," Proceedings of International Academic Conferences 1003921, International Institute of Social and Economic Sciences.
• Venelin Terziev & Ekaterina Arabska & Vesela Radovic, 2015. "Risk Management In Organic Farming," Proceedings of International Academic Conferences 1003048, International Institute of Social and Economic Sciences.
• Bart Keijsers & Bart Diris & Erik Kole, 2015. "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers 15-050/III, Tinbergen Institute, revised 01 Sep 2017.
• Francesca Parpinel, 2015. "The statistical combination procedure in measures for risk in financial systems," Working Papers 2015:08, Department of Economics, University of Venice "Ca' Foscari".
• Mihaela Daciana Nanu, 2015. "The impact of internal audit on the financial risk management of SMEs in Romania in the context of fiscal harmonization," Proceedings of International Academic Conferences 1003485, International Institute of Social and Economic Sciences.
• Kogler, Michael, 2015. "Rewarding Prudence: Risk Taking, Pecuniary Externalities and Optimal Bank Regulation," Economics Working Paper Series 1512, University of St. Gallen, School of Economics and Political Science.
• Sandra Rigot, 2015. "Does Regulation Matter? Riskiness in Pension Asset Allocation," Proceedings of International Academic Conferences 1003259, International Institute of Social and Economic Sciences.
• Fatih Kiraz & Ozgur Uysal & Yakup Ergincan, 2015. "A New Risk Appetite Index and CDS spreads: Evidence from an Emerging Market," Proceedings of International Academic Conferences 1004032, International Institute of Social and Economic Sciences.
• Mariana Nedelcu (Bunea), 2015. "Study on the relationship between the quality of external audit - financial performance, solvency and risk management in the Romanian banking system," Proceedings of International Academic Conferences 1003389, International Institute of Social and Economic Sciences.
• Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org, revised Sep 2019.
• Hammond, Peter, 2015. "Catastrophic Risk, Rare Events, and Black Swans: Could There Be a Countably Additive Synthesis?," The Warwick Economics Research Paper Series (TWERPS) 1060, University of Warwick, Department of Economics.
• Nordblom, Thomas L. & Hutchings, Timothy R. & Hayes, Richard C. & Li, Guangdi D., 2015. "A Framework for Modelling Whole-Farm Financial Risk," 2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand 202581, Australian Agricultural and Resource Economics Society.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios," Discussion Papers 15/06, Department of Economics, University of York.