Report NEP-RMG-2015-09-05

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:

• Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org, revised Jul 2018.
• International Monetary Fund, 2015. "Bosnia and Herzegovina; Financial Sector Assessment Program - Banking Sector Supervision Core Principles Implementation Update—Technical Note," IMF Staff Country Reports 15/214, International Monetary Fund.
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
• Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.
• Item repec:hhs:bofrdp:2015_008 is not listed on IDEAS anymore

• Zhi-Qiang Jiang & Askery A. Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou, 2015. "Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets," Papers 1508.07505, arXiv.org.
• Gallardo, German Gutierrez & Schuermann, Til & Duane, Michael, 2015. "Stress Testing Convergence," Working Papers 15-11, University of Pennsylvania, Wharton School, Weiss Center.
• Nguyen, Thien Tung, 2014. "Bank Capital Requirements: A Quantitative Analysis," Working Paper Series 2015-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
• Jackowicz, Krzysztof & Kowalewski, Oskar & Kozlowski, Lukasz, 2015. "Depositor Discipline During Good and Bad Times: The Role of the Guarantor of Last Resort," Working Papers 15-04, University of Pennsylvania, Wharton School, Weiss Center.
• Admati, Anat R., 2015. "Rethinking Financial Regulation: How Confusions Have Prevented Progress," Research Papers 3291, Stanford University, Graduate School of Business.