Report NEP-RMG-2015-07-04

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.

Other reports in NEP-RMG

The following items were announced in this report:

• Dominique Gu�gan & Bertrand Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Working Papers 2015:17, Department of Economics, University of Venice "Ca' Foscari".
• Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015. "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01166135, HAL.
• Item repec:dau:papers:123456789/15232 is not listed on IDEAS anymore

• Dominique Gu�gan & Bertrand Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Working Papers 2015:18, Department of Economics, University of Venice "Ca' Foscari".
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
• Kelly, Robert & O'Malley, Terence & O'Toole, Conor, 2015. "Designing Macro-prudential Policy in Mortgage Lending: Do First Time Buyers Default Less?," Research Technical Papers 02/RT/15, Central Bank of Ireland.
• Tobias Fissler & Johanna F. Ziegel & Tilmann Gneiting, 2015. "Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting," Papers 1507.00244, arXiv.org, revised Jul 2015.
• Ghosh, Saibal, 2014. "Risk, capital and financial crisis," MPRA Paper 65246, University Library of Munich, Germany.
• Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.
• Morgan, Peter & Regis, Paulo Jose & Salike, Nimesh, 2015. "Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia," ADBI Working Papers 528, Asian Development Bank Institute.
• Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
• Griselda Deelstra & Guillaume Plantin, 2014. "Risk Theory and Reinsurance," Sciences Po publications info:hdl:2441/2iocb3a6619, Sciences Po.
• Christopher J. Rook, 2015. "Optimal Equity Glidepaths in Retirement," Papers 1506.08400, arXiv.org.