Report NEP-RMG-2015-05-30

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:

• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015. "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers 15-056/III, Tinbergen Institute.
• Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
• Muteba Mwamba, John & Mhlanga, Isaah, 2013. "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper 64387, University Library of Munich, Germany.
• Dominique Guegan & Bertrand K Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Documents de travail du Centre d'Economie de la Sorbonne 15046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Paul Glasserman & Wanmo Kang, 2014. "Design of Risk Weights," Working Papers 14-06, Office of Financial Research, US Department of the Treasury.
• Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-975, CIRJE, Faculty of Economics, University of Tokyo.
• Robert Engle & Emil Siriwardane, 2014. "Structural GARCH: The Volatility-Leverage Connection," Working Papers 14-07, Office of Financial Research, US Department of the Treasury.
• Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015. "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," Cahiers de recherche 1508, CIRPEE.
• Phillip Monin & Thaleia Zariphopoulou, 2014. "On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management," Staff Discussion Papers 14-01, Office of Financial Research, US Department of the Treasury.
• Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
• Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
• Suarez, Ronny, 2015. "How to model the impact of political risk," MPRA Paper 64559, University Library of Munich, Germany.
• Romeil Sandhu & Tryphon Georgiou & Allen Tannenbaum, 2015. "Market Fragility, Systemic Risk, and Ricci Curvature," Papers 1505.05182, arXiv.org.
• Zhou, Richard, 2015. "Exact Methods for Path-Dependent Credit Exposure," MPRA Paper 64647, University Library of Munich, Germany, revised 25 May 3025.
• Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," Papers 1505.06946, arXiv.org.
• Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva, 2015. "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Working Papers, Department of Economics 2015_08, University of São Paulo (FEA-USP).
• Stefano Puddu & Andreas Waelchli, 2015. "TAF Effect on Liquidity Risk Exposure," IRENE Working Papers 15-07, IRENE Institute of Economic Research.
• Paul Glasserman & Chulmin Kang & Wanmo Kang, 2013. "Stress Scenario Selection by Empirical Likelihood," Working Papers 13-07, Office of Financial Research, US Department of the Treasury.
• Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.