Report NEP-RMG-2017-07-02

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:

• Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017. "Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.
• Smith, Jonathan Acosta & Grill, Michael & Lang, Jan Hannes, 2017. "The leverage ratio, risk-taking and bank stability," Working Paper Series 2079, European Central Bank.
• Yang, Bill Huajian, 2017. "Smoothing Algorithms by Constrained Maximum Likelihood," MPRA Paper 79911, University Library of Munich, Germany.
• Co-Pierre Georg & Toni Ahnert, 2017. "Information Contagion and Systemic Risk," Working Papers 686, Economic Research Southern Africa.
• Elia Berdin & Matteo Sottocornola, 2015. "Assessing Systemic Risk of the European Insurance Industry," EIOPA Financial Stability Report - Thematic Articles 6, EIOPA, Risks and Financial Stability Department.
• Maha Bakoben & Tony Bellotti & Niall Adams, 2017. "Identification of Credit Risk Based on Cluster Analysis of Account Behaviours," Papers 1706.07466, arXiv.org.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Leibniz Institute for Financial Research SAFE, revised 2017.
• Anatoliy Swishchuk, 2017. "Risk Model Based on General Compound Hawkes Process," Papers 1706.09038, arXiv.org.
• Andreas Muhlbacher & Thomas Guhr, 2017. "Extreme portfolio loss correlations in credit risk," Papers 1706.09809, arXiv.org.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Tinbergen Institute Discussion Papers 17-038/III, Tinbergen Institute.
• Fernando Garcia-Barragan & Guangling Dave Liu, 2017. "Welfare analysis of bank capital requirements with endogenous default," Working Papers 688, Economic Research Southern Africa.
• Martino, Ricci & Patrizio, Tirelli, 2017. "Subprime Mortgages and Banking in a DSGE Model," Working Papers 366, University of Milano-Bicocca, Department of Economics, revised 22 Jun 2017.
• Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud & Shixuan Wang, 2017. "Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles," Working Papers 201750, University of Pretoria, Department of Economics.
• Oskar Knapik, 2017. "Modeling and forecasting electricity price jumps in the Nord Pool power market," CREATES Research Papers 2017-07, Department of Economics and Business Economics, Aarhus University.
• Gleber, Peter, 2017. "Die Genossenschaftliche Institutssicherung – ein notwendiges Instrument zur Stärkung des Kundenvertrauens und des Risikomanagements im dezentralen Bankenverbund," IBF Paper Series 05-17, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
• Rajkamal Iyer & Marco Macchiavelli, 2017. "Primary Dealers' Behavior during the 2007-08 Crisis : Part I, Repo Runs," FEDS Notes 2017-06-22-1, Board of Governors of the Federal Reserve System (U.S.).
• Ron Berndsen & Ronald Heijmans, 2017. "Risk indicators for financial market infrastructure: from high frequency transaction data to a traffic light signal," DNB Working Papers 557, Netherlands Central Bank, Research Department.
• Lambertini Luisa & Nuguer Victoria & Uysal Pinar, 2017. "Mortgage Default in an Estimated Model of the U.S. Housing Market," Working Papers 2017-06, Banco de México.