Report NEP-RMG-2016-05-21

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:

• Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2016. "Measuring expected time to default under stress conditions for corporate loans," NBP Working Papers 237, Narodowy Bank Polski.
• Alessandro Spelta, 2016. "A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs," DISCE - Working Papers del Dipartimento di Economia e Finanza def036, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
• Fabiana Gómez & Jorge Ponce, 2015. "Regulation and Bankers’ Incentives," Documentos de Trabajo (working papers) 0915, Department of Economics - dECON.
• Mazin A. M. Al Janabi, 2016. "Method Development Aspects of Liquidity-Adjusted Value-at-Risk (LVaR) Technique for Commodities Portfolios," Proceedings of International Academic Conferences 3605760, International Institute of Social and Economic Sciences.
• Khizar Qureshi, 2016. "Value-at-Risk: The Effect of Autoregression in a Quantile Process," Papers 1605.04940, arXiv.org.
• Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "A robust confidence interval of historical Value-at-Risk for small sample," Documents de travail du Centre d'Economie de la Sorbonne 16034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• R Herrera & Adam Clements, 2015. "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series 104, National Centre for Econometric Research.
• Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
• Lorenzo Sasso, 2016. "Bank Capital Structure and Financial Innovation: Antagonists or Two Sides of the Same Coin?," HSE Working papers WP BRP 66/LAW/2016, National Research University Higher School of Economics.
• Rose,Adam, 2016. "Capturing the co-benefits of disaster risk management on the private sector side," Policy Research Working Paper Series 7634, The World Bank.
• Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series 16-11, Rimini Centre for Economic Analysis.
• Koji Asano, 2016. "Managerial Reputation, Risk-Taking, and Imperfect Capital Markets," Discussion Papers in Economics and Business 16-12, Osaka University, Graduate School of Economics.
• Leoni Eleni Oikonomikou, 2016. "Forecasting the Market Risk Premium with Artificial Neural Networks," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 202, Courant Research Centre PEG.
• Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
• Nakmai, Siwat, 2016. "Foreign exchange risk premia: from traditional to state-space analyses," MPRA Paper 71237, University Library of Munich, Germany.
• Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
• Surminski, Swenja & Eldridge, Jillian, 2015. "Flood insurance in England: an assessment of the current and newly proposed insurance scheme in the context of rising flood risk," LSE Research Online Documents on Economics 66256, London School of Economics and Political Science, LSE Library.
• TOBBACK, Ellen & MOEYERSOMS, Julie & STANKOVA, Marija & MARTENS, David, 2016. "Bankruptcy prediction for SMEs using relational data," Working Papers 2016004, University of Antwerp, Faculty of Business and Economics.
• Maarten van Oordt & Chen Zhou, 2016. "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers 16-22, Bank of Canada.
• Unger, Robert, 2016. "Traditional banks, shadow banks and the US credit boom: Credit origination versus financing," Discussion Papers 11/2016, Deutsche Bundesbank.
• Ceylan, Özcan, 2016. "Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation," MPRA Paper 71320, University Library of Munich, Germany.
• Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
• Oliver Enrique Pardo Reinoso, 2015. "A Note on The Evolution of Preferences," Icesi Economics Working Papers 14568, Universidad Icesi.