Report NEP-RMG-2017-09-10

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:

• Houllier, Melanie & Murphy, David, 2017. "Borderline: judging the adequacy of return distribution estimation techniques in initial margin models," Bank of England working papers 673, Bank of England.
• Mabelle Sayah, 2016. "Counterparty Credit Risk in OTC Derivatives under Basel III," Post-Print hal-01550312, HAL.
• Lijun Bo & Agostino Capponi & Claudia Ceci, 2017. "Risk-Minimizing Hedging of Counterparty Risk," Papers 1709.01115, arXiv.org.
• Felix Moldenhauer & Marcin Pitera, 2017. "Backtesting Expected Shortfall: a simple recipe?," Papers 1709.01337, arXiv.org, revised Aug 2018.
• Bikramjit Das & Marie Kratz, 2017. "Diversification benefits under multivariate second order regular variation," Working Papers hal-01520655, HAL.
• Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
• Tröger, Tobias H., 2017. "Too complex to work: A critical assessment of the bail-in tool under the European bank recovery and resolution regime," SAFE Working Paper Series 179, Leibniz Institute for Financial Research SAFE.
• Fabrizio Perri & Georgios Stefanidis, 2017. "Capital Requirements and Bailouts," Staff Report 554, Federal Reserve Bank of Minneapolis.
• Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2017. "Market entry waves and volatility outbursts in stock markets," BERG Working Paper Series 128, Bamberg University, Bamberg Economic Research Group.
• Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
• Jane E. Ihrig & Edward Kim & Ashish Kumbhat & Cindy M. Vojtech & Gretchen C. Weinbach, 2017. "How Have Banks Been Managing the Composition of High-Quality Liquid Assets?," Finance and Economics Discussion Series 2017-092, Board of Governors of the Federal Reserve System (U.S.).
• Victor Olkhov, 2017. "Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks," Papers 1709.00282, arXiv.org.
• Frédéric Sart, 2016. "On the hedging of liabilities with an endogenous profit sharing mechanism," Post-Print hal-01574949, HAL.