Report NEP-RMG-2017-01-22

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:

• Item repec:cte:idrepe:24017 is not listed on IDEAS anymore

• Yang, Bill Huajian, 2017. "Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing," MPRA Paper 76271, University Library of Munich, Germany.
• Yang, Bill Huajian & Du, Zunwei, 2016. "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper 76270, University Library of Munich, Germany.
• Eckley, Peter & Benetton, Matteo & Latsi, Georgia & Garbarino, Nicola & Kirwin, Liam, 2017. "Specialisation in mortgage risk under Basel II," Bank of England working papers 639, Bank of England.
• Muhammad, Aliyu Dahiru, 2016. "Risk Management Practices in Islamic Banking Institutions: A Comparative Study between Nigeria and Malaysia," Working Papers 2016-14, The Islamic Research and Teaching Institute (IRTI).
• Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
• Masahiko Egami & Rusudan Kevkhishvili, 2017. "Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management," Papers 1701.04565, arXiv.org, revised Feb 2019.
• Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan, 2017. "A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities," Papers 1701.04134, arXiv.org.
• Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
• Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2017. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," Papers 1701.04167, arXiv.org.
• Antoine Jacquier & Claude Martini & Aitor Muguruza, 2017. "On VIX Futures in the rough Bergomi model," Papers 1701.04260, arXiv.org.
• Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017. "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers 01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
• Mina, Christian D. & Reyes, Celia M. & Gloria, Reneli Ann B. & Agbon, Adrian D., 2017. "Agricultural Insurance Program: Lessons from Different Country Experiences," Discussion Papers DP 2017-02, Philippine Institute for Development Studies.