Report NEP-RMG-2017-04-09

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:

• Osmundsen, Kjartan Kloster, 2017. "Using Expected Shortfall for Credit Risk Regulation," UiS Working Papers in Economics and Finance 2017/4, University of Stavanger.
• Giglio, Stefano, 2016. "Credit default swap spreads and systemic financial risk," ESRB Working Paper Series 15, European Systemic Risk Board.
• Rama Cont, 2017. "Central clearing and risk transformation," Working Paper 2017/3, Norges Bank.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Etesami, Jalal & Habibnia, Ali & Kiyavash, Negar, 2017. "Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity," LSE Research Online Documents on Economics 70769, London School of Economics and Political Science, LSE Library.
• Adeola Oyenubi, 2017. "Diversification measures and the optimal number of Stocks in a portfolio: An information theoretic explanation," Working Papers 666, Economic Research Southern Africa.
• Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016. "Systemic risk in clearing houses: Evidence from the European repo market," ESRB Working Paper Series 10, European Systemic Risk Board.
• Polanski, Arnold & Stoja, Evarist, 2016. "Extreme risk interdependence," ESRB Working Paper Series 12, European Systemic Risk Board.
• Abdullah, Azrul & Ku Ismail, Ku Nor Izah, 2016. "The Effectiveness of Risk Management Committee and Hedge Accounting Practices in Malaysia," MPRA Paper 77960, University Library of Munich, Germany.
• Syed Abul, Basher & Lawrence M., Kessler & Murat K., Munkin, 2017. "Bank capital and portfolio risk among Islamic banks," MPRA Paper 77932, University Library of Munich, Germany.
• Jamal Bouoiyour & Refk Selmi, 2017. "Are Trump and Bitcoin Good Partners?," Working Papers hal-01480031, HAL.
• Louis Raymond Eeckhoudt & Elisa Pagani & Emanuela Rosazza Gianin, 2016. "Prudence, risk measures and the Optimized Certainty Equivalent: a note," Working Papers 07/2016, University of Verona, Department of Economics.
• Simón Sosvilla-Rivero & Victor Echevarria Icaza, 2017. "Systemic banks, capital composition and CoCo bonds issuance:The effects on bank risk," Working Papers 17-03, Asociación Española de Economía y Finanzas Internacionales.
• Dionne, Georges & Desjardins, Denise, 2017. "Reinsurance Demand and Liquidity Creation," Working Papers 17-3, HEC Montreal, Canada Research Chair in Risk Management.
• Filippo Ippolito & José-Luis Peydró & Andrea Polo & Enrico Sette, 2016. "Double bank runs and liquidity risk management," ESRB Working Paper Series 08, European Systemic Risk Board.
• Cyril Grunspan & Ricardo Pérez-Marco, 2017. "Satoshi Risk Tables," Working Papers hal-01465634, HAL.
• Anastasiou, Dimitrios, 2016. "Management and Resolution methods of Non-performing loans: A Review of the Literature," MPRA Paper 77581, University Library of Munich, Germany, revised 2017.
• Sarena Goodman & Alice Henriques Volz & Alvaro Mezza, 2017. "On Intergenerational Immobility : Evidence that Adult Credit Health Reflects the Childhood Environment," Finance and Economics Discussion Series 2017-032, Board of Governors of the Federal Reserve System (U.S.).
• David Andolfatto & Ed Nosal, 2017. "Bank Panics and Scale Economies," Working Papers 2017-9, Federal Reserve Bank of St. Louis.
• Rocks, Sophie A. & Schubert, Iljana & Soane, Emma & Black, Edgar & Muckle, Rachel & Petts, Judith & Prpich, George & Pollard, Simon J., 2017. "Engaging with comparative risk appraisals: public views on policy priorities for environmental risk governance," LSE Research Online Documents on Economics 71580, London School of Economics and Political Science, LSE Library.
• Keuschnigg, Christian & Kogler, Michael, 2017. "Schumpeterian Banks: Credit Reallocation and Capital Requirements," Economics Working Paper Series 1704, University of St. Gallen, School of Economics and Political Science, revised Dec 2019.
• Aiba, Daiju & Odajima, Ken & Khou, Vouthy, 2017. "Foreign Currency Borrowing and Risk-Hedging Behavior: Evidence from a Household Survey in Cambodia," Working Papers 143, JICA Research Institute.
• Homar, Timotej, 2016. "Bank recapitalizations and lending: A little is not enough," ESRB Working Paper Series 16, European Systemic Risk Board.
• Valerii Salov, 2017. "The Wandering of Corn," Papers 1704.01179, arXiv.org.
• Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
• Dionne, Georges & Harrington, Scott, 2017. "Insurance and Insurance Markets," Working Papers 17-2, HEC Montreal, Canada Research Chair in Risk Management.
• Fabian Schupp & Leonid Silbermann, 2017. "The Role of Structural Funding for Stability in the German Banking Sector," MAGKS Papers on Economics 201717, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Raslan Alzubi & Mustafa Caglayan & Kostas Mouratidis, 2017. "The Risk-Taking Channel in the US: A GVAR Approach," Working Papers 2017009, The University of Sheffield, Department of Economics.