Report NEP-RMG-2017-12-11

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:

• Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
• Gazi I. Kara & Cindy M. Vojtech, 2017. "Bank Failures, Capital Buffers, and Exposure to the Housing Market Bubble," Finance and Economics Discussion Series 2017-115, Board of Governors of the Federal Reserve System (U.S.).
• Berdin, Elia & Sottocornola, Matteo, 2017. "Systemic risk in insurance: Towards a new approach," SAFE Policy Letters 62, Leibniz Institute for Financial Research SAFE.
• Marco Bee & Maria Michela Dickson & Flavio Santi, 2017. "Likelihood-based Risk Estimation for Variance-Gamma Models," DEM Working Papers 2017/03, Department of Economics and Management.
• Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
• Simona Malovana, 2017. "Banks' Capital Surplus and the Impact of Additional Capital Requirements," Working Papers 2017/8, Czech National Bank.
• International Monetary Fund, 2017. "Japan; Financial Sector Assessment Program-Detailed Assessment of Observance on Basel Core Principles for Effective Banking Supervision," IMF Staff Country Reports 17/282, International Monetary Fund.
• Huang, Yajing & Liu, Taoxiong & Lien, Donald, 2017. "Portfolio Homogenization and Systemic Risk of Financial Network," MPRA Paper 82956, University Library of Munich, Germany.
• International Monetary Fund, 2017. "Japan; Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector," IMF Staff Country Reports 17/285, International Monetary Fund.
• Eling, Martin & Jia, Ruo & Schaper, Philipp, 2017. "Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety," Working Papers on Finance 1716, University of St. Gallen, School of Finance.
• Brendan K. Beare & Alexis Akira Toda, 2017. "Determination of Pareto exponents in economic models driven by Markov multiplicative processes," Papers 1712.01431, arXiv.org, revised Jan 2022.
• International Monetary Fund, 2017. "Luxembourg; Financial Sector Assessment Program: Technical Note-Fund Management: Regulation, Supervision, and Systemic Risk Monitoring," IMF Staff Country Reports 17/257, International Monetary Fund.
• Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017. "Multi-currency reserving for coherent risk measures," Papers 1712.01319, arXiv.org, revised Dec 2017.
• Xing, Victor, 2017. "Non-bank Financial Institutions at the Ground Zero of Next Crisis," MPRA Paper 83077, University Library of Munich, Germany.
• Neyer, Ulrike & Sterzel, André, 2017. "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers 275, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
• Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
• H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in Derivatives Markets," Economics Series Working Papers 839, University of Oxford, Department of Economics.
• Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
• Mircea Epure & Irina Mihai & Camelia Minoiu & José-Luis Peydró, 2017. "Global Financial Cycle, Household Credit, and Macroprudential Policies," Working Papers 1006, Barcelona School of Economics.
• Andrea Morone & Francesco Nemore & Tiziana Temerario, 2017. "Individual and group preferences over risk: Does group size matter?," EERI Research Paper Series EERI RP 2017/12, Economics and Econometrics Research Institute (EERI), Brussels.
• Laura Gianfagna & Armando Rungi, 2017. "Does corporate control matter to financial volatility?," Working Papers 09/2017, IMT School for Advanced Studies Lucca, revised Nov 2017.
• Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
• Paul McCloud, 2017. "Quantum Bounds for Option Prices," Papers 1712.01385, arXiv.org, revised May 2018.
• Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "US stocks in the presence of oil price risk: Large cap vs. Small cap," Working Papers 037, Centre for Econometric and Allied Research, University of Ibadan.