Report NEP-RMG-2017-06-18

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:

• Dacorogna, Michel M, 2017. "Approaches and Techniques to Validate Internal Model Results," MPRA Paper 79632, University Library of Munich, Germany.
• Filippo Occhino, 2017. "The Optimal Response of Bank Capital Requirements to Credit and Risk in a Model with Financial Spillovers," Working Papers (Old Series) 1711, Federal Reserve Bank of Cleveland.
• Asai, M. & Chang, C-L. & McAleer, M.J., 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Econometric Institute Research Papers TI 2017-038/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• YASUDA, Yukihiro & 安田, 行宏, 2016. "Impacts of Deregulation on Property and Casualty Insurers' Pricing and Risk Taking: Empirical Evidence in Japan," Working Paper Series G-1-10, Hitotsubashi University Center for Financial Research.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2017. "Does Inflation Cause Gold Prices? Evidence from G7 Countries," Working Papers 15-31, Eastern Mediterranean University, Department of Economics.
• Knapp, S. & Vander Hoorn, S., 2017. "A multi-layered risk estimation routine for strategic planning and operations for the maritime industry," Econometric Institute Research Papers EI2017-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Rangan Gupta & Christian Pierdzioch & Refk Selmi & Mark E. Wohar, 2017. "Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model," Working Papers 201744, University of Pretoria, Department of Economics.
• KIM, Hyonok & WILCOX, James A. & YASUDA, Yukihiro & 安田, 行宏, 2016. "Shocks and Shock Absorbers in Japanese Bonds and Banks During the Global Financial Crisis," Working Paper Series G-1-16, Hitotsubashi University Center for Financial Research.
• KIM, Hyonok & YASUDA, Yukihiro & 安田, 行宏, 2016. "Mandatory adoption of business risk disclosure: evidence from Japanese firms," Working Paper Series G-1-14, Hitotsubashi University Center for Financial Research.
• KONISHI, Masaru & 小西, 大 & OKUYAMA, Eiji & YASUDA, Yukihiro & 安田, 行宏, 2016. "Bank Diversification into the Insurance Business: The Effects of the Deregulation of the Bank-Sales Channel at Japanese Banks," Working Paper Series G-1-12, Hitotsubashi University Center for Financial Research.
• Robert Azencott & Peng Ren & Ilya Timofeyev, 2017. "Realized volatility and parametric estimation of Heston SDEs," Papers 1706.04566, arXiv.org, revised Mar 2020.
• YASUDA, Yukihiro & 安田, 行宏, 2016. "Rollover and Capital Adequacy Requirements," Working Paper Series G-1-11, Hitotsubashi University Center for Financial Research.
• Jihad Dagher & Giovanni Dell'Ariccia & Luc Laeven & Lev Ratnovski & Hui Tong, 2016. "Benefits and Costs of Bank Capital," IMF Staff Discussion Notes 16/04, International Monetary Fund.
• Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
• Michaela Erbenova & Yan Liu & Nadim Kyriakos-Saad & Aledjandro Lopez Mejia & Jose Giancarlo Gasha & Emmanuel Mathias & Mohamed Norat & Francisca Fernando & Yasmin Almeida, 2016. "The Withdrawal of Correspondent Banking Relationships; A Case for Policy Action," IMF Staff Discussion Notes 16/06, International Monetary Fund.