Report NEP-RMG-2017-11-19

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:

• Branko Uroševic & Mikica Drenovak & Vladimir Rankovic & Ranko Jelic & Milos Ivanovic, 2016. "Market Risk Management in a Post-Basel II Regulatory Environment," CESifo Working Paper Series 6293, CESifo.
• Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
• Sudipto Karmakar & Leonardo Gambacorta, 2017. "Leverage and Risk Weighted Capital Requirements," Working Papers REM 2017/09, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
• Limani, Jeta & Bettinger, Régis & Dacorogna, Michel M, 2017. "On the diversification benefit of reinsurance portfolios," MPRA Paper 82466, University Library of Munich, Germany.
• Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
• Benschop, Thijs & López Cabrera, Brenda, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers 2017-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Dominika Langenmayr & Rebecca Lester, 2017. "Taxation and Corporate Risk-Taking," CESifo Working Paper Series 6566, CESifo.
• T. R. Hurd, 2017. "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers 1711.05289, arXiv.org.
• Xavier Warin, 2017. "Variance optimal hedging with application to Electricity markets," Papers 1711.03733, arXiv.org, revised Aug 2018.
• Oubdi, Lahsen & Raghibi, Abdessamad, 2017. "An Overview on the Practice and Issues of Hedging in Islamic Finance," MPRA Paper 82646, University Library of Munich, Germany.
• Catalina Bolancé & Raluca Vernic, 2017. "Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution," Working Papers XREAP2017-07, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2017.
• Hassan, Tarek & Hollander, Stephan & van Lent, Laurence & Tahoun, Ahmed, 2017. "Firm-level political risk: Measurement and effects," CEPR Discussion Papers 12436, C.E.P.R. Discussion Papers.
• Begenau, Juliane & Landvoigt, Tim, 2017. "Financial Regulation in a Quantitative Model of the Modern Banking System," Research Papers 3558, Stanford University, Graduate School of Business.
• Mohammad Bitar & M. Kabir Hassan & William J. Hippler, 2017. "Determinants of Bank Capital in Dual Banking Systems," NFI Working Papers 2017-WP-04, Indiana State University, Scott College of Business, Networks Financial Institute.
• Niu, Cuizhen & Wong, Wing-Keung & Zhu, Lixing, 2017. "Farinelli and Tibiletti ratio and Stochastic Dominance," MPRA Paper 82737, University Library of Munich, Germany.
• Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
• David Turner, 2017. "Designing fan charts for GDP growth forecasts to better reflect downturn risks," OECD Economics Department Working Papers 1428, OECD Publishing.
• Fry, John & Serbera, Jean-Philippe, 2017. "Modelling and mitigation of Flash Crashes," MPRA Paper 82457, University Library of Munich, Germany.
• Torsten Trimborn & Lorenzo Pareschi & Martin Frank, 2017. "Portfolio Optimization and Model Predictive Control: A Kinetic Approach," Papers 1711.03291, arXiv.org, revised Feb 2019.