Report NEP-RMG-2016-11-27

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:

• Bertrand K. Hassani & Wei Yang, 2016. "The Lila distribution and its applications in risk modelling," Documents de travail du Centre d'Economie de la Sorbonne 16068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Pawe? Kliber, 2016. "Portfolio analysis in jump-diffusion model with power-law tails," Proceedings of International Academic Conferences 5306873, International Institute of Social and Economic Sciences.
• Claire Océane Chevallier & Sarah El Joueidi, 2016. "Regulation and Rational Banking Bubbles in Infinite Horizon," DEM Discussion Paper Series 16-15, Department of Economics at the University of Luxembourg.
• Juan Sanchez & Jose Mustre-del-Rio & Kartik Athreya, 2016. "The Persistence of Financial Distress," 2016 Meeting Papers 1424, Society for Economic Dynamics.
• Andras Komaromi & Metodij Hadzi-Vaskov & Torsten Wezel, 2016. "Assessing Liquidity Buffers in the Panamanian Banking Sector," IMF Working Papers 16/200, International Monetary Fund.
• Yahia Salhi & Pierre-Emmanuel Thérond, 2016. "Age-Specific Adjustment of Graduated Mortality," Working Papers hal-01391285, HAL.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Measuring Systemic Stress in European Banking Systems," Discussion Papers in Economics 16/19, Division of Economics, School of Business, University of Leicester.
• Gu, Yewen & Wallace, Stein W. & Wang, Xin, 2016. "The Impact of Bunker Risk Management on CO2 Emissions in Maritime Transportation Under ECA Regulation," Discussion Papers 2016/17, Norwegian School of Economics, Department of Business and Management Science.
• David Ardia & Kris Boudt & Leopoldo Catania, 2016. "Value-at-Risk Prediction in R with the GAS Package," Papers 1611.06010, arXiv.org.
• Paul S. Calem & Rafael Rob, "undated". "The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model," Finance and Economics Discussion Series 1996-12, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
• Tim Landvoigt & Juliane Begenau, 2016. "Financial Regulation in a Quantitative Model of the Modern Banking System," 2016 Meeting Papers 1462, Society for Economic Dynamics.
• Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2016. "Prepayment Risk and Expected MBS Returns," NBER Working Papers 22851, National Bureau of Economic Research, Inc.
• Glenn Boyle & Roger Stover & Amrit Tiwana & Oleksandr Zhylyevskyy, 2016. "“Honey, the Bank Might Go Bust”: The Response of Finance Professionals to a Banking System Shock," Working Papers in Economics 16/28, University of Canterbury, Department of Economics and Finance.
• Antonio Heras Martínez & David Teira & Pierre-Charles Pradier, 2016. "What was fair in actuarial fairness?," Documents de travail du Centre d'Economie de la Sorbonne 16073, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
• Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2016. "Learning from History : Volatility and Financial Crises," Finance and Economics Discussion Series 2016-093, Board of Governors of the Federal Reserve System (U.S.).