Report NEP-RMG-2017-01-15

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:

• Peter Sands & Gordon Liao & Yueran Ma, 2017. "Rethinking Operational Risk Capital Requirements," Working Paper 482781, Harvard University OpenScholar.
• Andra C. Ghent & Marianna Kudlyak, 2016. "Intergenerational Linkages in Household Credit," Working Paper Series 2016-31, Federal Reserve Bank of San Francisco.
• Naohisa Hirakata & Yosuke Kido & Jie Liang Thum, 2017. "Empirical Evidence on "Systemic as a Herd": The Case of Japanese Regional Banks," Bank of Japan Working Paper Series 17-E-1, Bank of Japan.
• Christoph Wunderer, 2017. "Asset correlation estimation for inhomogeneous exposure pools," Papers 1701.02028, arXiv.org, revised Sep 2019.
• Vadim Kaushansky & Alexander Lipton & Christoph Reisinger, 2016. "Numerical analysis of an extended structural default model with mutual liabilities and jump risk," Papers 1701.00030, arXiv.org.
• Gabor Fukker, 2017. "Harmonic distances and systemic stability in heterogeneous interbank networks," MNB Working Papers 2017/1, Magyar Nemzeti Bank (Central Bank of Hungary).
• Csoka, Péter & Herings, P. Jean-Jacques, 2017. "An Axiomatization of the Proportional Rule in Financial Networks," Research Memorandum 001, Maastricht University, Graduate School of Business and Economics (GSBE).
• Kazutoshi Yamazaki, 2017. "Phase-type Approximation of the Gerber-Shiu Function," Papers 1701.02798, arXiv.org.
• Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017. "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper 75948, University Library of Munich, Germany.
• Sabiou Inoua, 2016. "The Random Walk behind Volatility Clustering," Papers 1612.09344, arXiv.org.
• Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016. "BSDEs with default jump," Papers 1612.05681, arXiv.org, revised Sep 2017.