Report NEP-RMG-2017-11-12

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:

• Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
• Tirupam Goel & Ulf Lewrick & Agnė Nikola Tarashev, 2017. "Bank capital allocation under multiple constraints," BIS Working Papers 666, Bank for International Settlements.
• Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Discussion Papers 1719, Graduate School of Economics, Kobe University.
• Steven Gjerstad, 2017. "Bondholder Reorganization of Systemically Important Financial Institutions," Working Papers 17-22, Chapman University, Economic Science Institute.
• Brian P. Hanley, 2017. "The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes," Papers 1711.02600, arXiv.org, revised Dec 2019.
• Joseph Hughes & Choon-Geol Moon, 2017. "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers 201709, Rutgers University, Department of Economics.
• Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
• Orlov, Dmitry & Zryumov, Pavel & Skrzypacz, Andrzej, 2017. "Design of Macro-prudential Stress Tests," Research Papers 3548, Stanford University, Graduate School of Business.
• Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.
• Reza, Md. Ridwan & Masih, Mansur, 2017. "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper 82123, University Library of Munich, Germany.
• Tim J. Boonen & Montserrat Guillén & Miguel Santolino, 2017. "Forecasting compositional risk allocations," Working Papers XREAP2017-04, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2017.
• Martin Magris & Perttu Barholm & Juho Kanniainen, 2017. "Implied volatility smile dynamics in the presence of jumps," Papers 1711.02925, arXiv.org, revised May 2020.
• Guillermo Ordoñez & Facundo Piguillem, 2017. "Retirement in the Shadow (Banking)," EIEF Working Papers Series 1714, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.