Report NEP-RMG-2016-03-10

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:

• Justine Pedrono, 2016. "Currency Diversification of Banks: A Spontaneous Buffer Against Financial Losses," Working Papers halshs-01275862, HAL.
• Chia-Chien Chang & Yung -Jen Chung, 2016. "Can Basel Iii Liquidity Risk Measures Explain Taiwan Bank Failures," Proceedings of Economics and Finance Conferences 3205450, International Institute of Social and Economic Sciences.
• Nicolas R Blancher & Srobona Mitra, "undated". "Strengthening Financial Surveillance: A Practical Approach to Systemic Risk Monitoring," IMF Staff Discussion Notes 31/05, International Monetary Fund.
• Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based Portfolio Choice with Leverage Constraints," Working Papers on Finance 1607, University of St. Gallen, School of Finance.
• BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman, 2016. "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," MPRA Paper 69636, University Library of Munich, Germany.
• Cédric Join & Michel Fliess & Cyril Voyant & Frédéric Chaxel, 2016. "Solar energy production: Short-term forecasting and risk management," Post-Print hal-01272152, HAL.
• Justine Pedrono & Aurélien Violon, 2016. "Banks' Capital Structure and US dollar Diversification of Assets: Does Reduction in Systemic Risk Offset Agency Costs?," Working Papers halshs-01275858, HAL.
• O. Emre Ergungor, 2016. "Where the Wild Things Are: Measuring Systemic Risk through Investor Sentiment," Working Papers (Old Series) 1608, Federal Reserve Bank of Cleveland.
• G'abor Papp & Fabio Caccioli & Imre Kondor, 2016. "Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization," Papers 1602.08297, arXiv.org, revised Jul 2018.
• Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.