Report NEP-RMG-2015-08-25

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:

• Chiara Pederzoli & Costanza Torricelli, 2015. "Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15207, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015. "A risk management approach to capital allocation," Working Papers hal-01163180, HAL.
• Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
• Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers hal-00914844, HAL.
• David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015. "Mapping Heat in the U.S. Financial System," Finance and Economics Discussion Series 2015-59, Board of Governors of the Federal Reserve System (U.S.).
• Christian Thimann, 2014. "How Insurers Differ from Banks: A Primer on Systemic Regulation," PSE Working Papers halshs-01074933, HAL.
• Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.
• Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2015. "Realized Bank Risk during the Great Recession," International Finance Discussion Papers 1140, Board of Governors of the Federal Reserve System (U.S.).
• Item repec:hal:wpaper:hal-01171395 is not listed on IDEAS anymore

• Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2014. "On capital allocation by minimizing multivariate risk indicators," Working Papers hal-01082559, HAL.
• Georg Mainik, 2015. "Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions," Papers 1508.02749, arXiv.org.
• Pascal Le Masson & Benoit Weil & Olga Kokshagina, 2015. "A new perspective for risk management: a study of the design of generic technology with a matroid model in C-K theory," Post-Print hal-01083249, HAL.
• Thomas Humblot, 2014. "Basel Iii Effects On Smes’ Access To Bank Credit : An Empirical Assessment," Working Papers hal-01096527, HAL.
• Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
• Mengying Cui & David Levinson, 2015. "Accessibility Analysis of Risk Severity," Working Papers 000134, University of Minnesota: Nexus Research Group.
• Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2015. "Vector Quantile Regression," Working Papers hal-01169653, HAL.
• Fernando Jaramillo & Hubert Kempf & Fabien Moizeau, 2015. "Heterogeneity and the formation of risk-sharing coalitions," Post-Print halshs-01075648, HAL.
• Nicolas Gravel & Benoît Tarroux, 2015. "Robust normative comparisons of socially risky situations," Post-Print halshs-01057024, HAL.
• Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2014. "Construction of an Index that links Wind Speeds and Strong Claim Rate of Insurers after a Storm in France," Working Papers hal-01081758, HAL.