Report NEP-RMG-2015-12-12

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:

• Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz, 2015. "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series WP-2015-9, Federal Reserve Bank of Chicago.
• Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
• Mihaly Ormos & Dusan Timotity, 2015. "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers 1512.01806, arXiv.org.
• Miguel Sarmiento & Jorge E. Galán, 2015. "The influence of risk-taking on bank efficiency: evidence from Colombia," Working Papers 1537, Banco de España.
• Syed Abul, Basher & Perry, Sadorsky, 2015. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," MPRA Paper 68231, University Library of Munich, Germany.
• David Puelz & P. Richard Hahn & Carlos M. Carvalho, 2015. "Sparse Mean-Variance Portfolios: A Penalized Utility Approach," Papers 1512.02310, arXiv.org, revised Oct 2016.
• Martina Jasova, 2015. "Banking Crises in Emerging Economies: Can Credit Variables Work as Early Warnings?," Working Papers IES 2015/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.