Report NEP-RMG-2017-02-12

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:

• Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2017. "Tail event driven networks of SIFIs," SFB 649 Discussion Papers 2017-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Viktor Witkovsky & Gejza Wimmer & Tomas Duby, 2017. "Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity," Papers 1701.08299, arXiv.org.
• Shaw, Frances & Dunne, Peter G., 2017. "Investment Fund Risk: The Tale in the Tails," Research Technical Papers 01/RT/17, Central Bank of Ireland.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series 16-62, Swiss Finance Institute.
• Cerezetti, Fernando & Sumawong, Anannit & Karimalis, Emmanouil & Shreyas, Ujwal, 2017. "Market liquidity, closeout procedures and initial margin for CCPs," Bank of England working papers 643, Bank of England.
• Regmund, Wes & Robinson, John & Anderson, David, "undated". "Higher and More Stable Returns From Cottonseed," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252813, Southern Agricultural Economics Association.
• Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017. "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers 1702.01936, arXiv.org, revised Dec 2017.
• Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016. "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series 16-53, Swiss Finance Institute.
• Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series 16-59, Swiss Finance Institute.
• Guiso, Luigi & Pistaferri, Luigi & Fagereng, Andreas, 2017. "Firm-Related Risk and Precautionary Saving Response," CEPR Discussion Papers 11809, C.E.P.R. Discussion Papers.
• Elena Tkach & Grigoriy Khavanskiy, 2015. "Ways to improve risk management at the enterprises of the energy sector," Published Papers ch1640, Russian Presidential Academy of National Economy and Public Administration.
• Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
• Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.