Report NEP-RMG-2016-01-29

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:

• Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2016. "Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+," Papers 1601.04557, arXiv.org, revised Nov 2016.
• Richard Harris & Linh Nguyen & Evarist Stoja, 2015. "Extreme Downside Risk and Market Turbulence," Bristol Accounting and Finance Discussion Papers 15/2, School of Accounting and Finance, University of Bristol, UK.
• Matt V. Leduc & Sebastian Poledna & Stefan Thurner, 2016. "Systemic Risk Management in Financial Networks with Credit Default Swaps," Papers 1601.02156, arXiv.org, revised Oct 2017.
• Dungey, Mardi & Luciani, Matteo & Matei, Marius & Veredas, David, 2015. "Surfing through the GFC: systemic risk in Australia," Working Papers 2015-01, University of Tasmania, Tasmanian School of Business and Economics.
• Dungey, Mardi & Tchatoka, Firmin Doko & Wells, Graeme & Yanotti, Maria Belen, 2014. "Mortgage Choice Determinants: the Role of Risk and Bank Regulation," Working Papers 2014-03, University of Tasmania, Tasmanian School of Business and Economics, revised 12 Feb 2014.
• J'ozsef Mezei & Peter Sarlin, 2016. "RiskRank: Measuring interconnected risk," Papers 1601.06204, arXiv.org.
• Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2015. "Taming macroeconomic instability : monetary and macro prudential policy interactions in an agent-based model," Documents de Travail de l'OFCE 2015-32, Observatoire Francais des Conjonctures Economiques (OFCE).
• Ilya Khankov & Henry Penikas, 2015. "Modelling Probability of Default of Russian Banks and Companies Using Copula Models," DEM Working Papers Series 113, University of Pavia, Department of Economics and Management.
• Szüle, Borbála, 2016. "Solvency risk minimizing guaranteed returns in life insurance," Corvinus Economics Working Papers (CEWP) 2016/02, Corvinus University of Budapest.
• Micha{l} Barski, 2016. "Large losses - probability minimizing approach," Papers 1601.03388, arXiv.org.
• Ravi Kashyap, 2016. "Fighting Uncertainty with Uncertainty: A Baby Step," Papers 1601.04043, arXiv.org, revised Oct 2017.