Report NEP-RMG-2017-05-28

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:

• Samuel N. Cohen, 2017. "Data and uncertainty in extreme risks - a nonlinear expectations approach," Papers 1705.08301, arXiv.org, revised Feb 2018.
• Peter Mitic, 2017. "Conduct Risk - distribution models with very thin Tails," Papers 1705.06868, arXiv.org.
• Divya Kirti & Vijay Narasiman, 2017. "How is the likelihood of fire sales in a crisis affected by the interaction of various bank regulations?," IMF Working Papers 17/68, International Monetary Fund.
• Shan Lu & Jichang Zhao & Huiwen Wang & Ruoen Ren, 2017. "Herding boosts too-connected-to-fail risk in stock market of China," Papers 1705.08240, arXiv.org, revised Apr 2018.
• Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018. "Asymptotic Multivariate Expectiles," Working Papers hal-01509963, HAL.
• Deli, Yota & Hasan, Iftekhar, 2017. "Real effects of bank capital regulations: Global evidence," MPRA Paper 79065, University Library of Munich, Germany.
• Chen Lin & Thomas Schmid & Michael S. Weisbach, 2017. "Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms," NBER Working Papers 23434, National Bureau of Economic Research, Inc.
• Korishchenko, Konstantin (Корищенко, Константин) & Morozov, Stepan (Морозов, Степан), 2017. "Formation of a System of Prudential Supervision for Professional Participants of the Securities Market [Формирование Системы Пруденциального Надзора За Профессиональными Участниками Рынка Ценных Бу," Working Papers 051710, Russian Presidential Academy of National Economy and Public Administration.
• Zailei Cheng, 2017. "Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate," Papers 1705.08411, arXiv.org.
• Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
• Brummelhuis, Raymond & Luo, Zhongmin, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," MPRA Paper 79194, University Library of Munich, Germany.