Report NEP-RMG-2015-06-05

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:

• Boholm, Åsa & Corvellec, Hervé, 2015. "The role of valuation practices for risk identification," GRI-rapport 2015:4, University of Gothenburg, Gothenburg Research Institute GRI.
• Pfohl, Hans-Christian & Zuber, Christian & Berbner, Ulrich, 2014. "The Imbalance of Supply Risk and Risk Management Activities in Supply Chains: Developing Metrics to Enable Network Analysis in the Context of Supply Chain Risk Management," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 70589, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Hyejin Cho, 2014. "The Bank Capital Regulation (BCR) Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01068235, HAL.
• Olivier Le Marois & Julia Mikhalevsky & Raphaël Douady, 2014. "Extreme Risk, excess return and leverage: the LP formula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151376, HAL.
• Simonov, Andrei & Bodnaruk, Andriy & Chokaev, Bekhan, 2015. "Downside Risk Timing by Mutual Funds," CEPR Discussion Papers 10639, C.E.P.R. Discussion Papers.
• Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151340, HAL.
• Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
• Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01110712, HAL.
• Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015. "The impact of capital on lending in publicly-traded and privately- held banks in the EU," Faculty of Management Working Paper Series 72015, University of Warsaw, Faculty of Management.
• Catullo, Ermanno & Gallegati, Mauro & Palestrini, Antonio, 2015. "Systemic risk and macro-prudential policies: A credit network-based approach," FinMaP-Working Papers 39, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Sarlin, Peter & Ramsay, Bruce A., 2015. "Ending over-lending: assessing systemic risk with debt to cash flow," Working Paper Series 1769, European Central Bank.
• Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Optimal Investment to Minimize the Probability of Drawdown," Papers 1506.00166, arXiv.org, revised Feb 2016.
• Moccero, Diego & Gnabo, Jean-Yves, 2015. "The risk management approach to monetary policy, nonlinearity and aggressiveness: the case of the US Fed," Working Paper Series 1792, European Central Bank.
• Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01066105, HAL.
• Antoine Kornprobst & Raphael Douady, 2015. "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers 1506.00806, arXiv.org, revised Sep 2017.
• Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2015. "Forecasting with VAR models: fat tails and stochastic volatility," Bank of England working papers 528, Bank of England.