Report NEP-RMG-2018-01-08

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:

• Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley, 2017. "Stock market as temporal network," Papers 1712.04863, arXiv.org.
• Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Post-Print hal-01367277, HAL.
• Iñaki Aldasoro & Andreas Barth, 2017. "Syndicated loans and CDS positioning," BIS Working Papers 679, Bank for International Settlements.
• Sergio Masciantonio & Andrea Zaghini, 2017. "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers) 1153, Bank of Italy, Economic Research and International Relations Area.
• Maarten van Oordt, 2017. "Credit Risk Transfer and Bank Insolvency Risk," Staff Working Papers 17-59, Bank of Canada.
• Sami Ben Naceur & Jérémy Pépy & Caroline Roulet, 2017. "Basel III and Bank-Lending: Evidence from the United States and Europe," IMF Working Papers 17/245, International Monetary Fund.
• Siemsen, Thomas & Vilsmeier, Johannes, 2017. "A stress test framework for the German residential mortgage market: Methodology and application," Discussion Papers 37/2017, Deutsche Bundesbank.
• Peter Kritzer & Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2017. "Approximation methods for piecewise deterministic Markov processes and their costs," Papers 1712.09201, arXiv.org, revised Jan 2019.
• Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
• Beirlant, J. & Kijko, Andrzej & Reykens, Tom & Einmahl, John, 2017. "Estimating the Maximum Possible Earthquake Magnitude Using Extreme Value Methodology : the Groningen Case," Discussion Paper 2017-050, Tilburg University, Center for Economic Research.
• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
• Pierluigi Bologna, 2017. "Banks’ maturity transformation: risk, reward, and policy," Temi di discussione (Economic working papers) 1159, Bank of Italy, Economic Research and International Relations Area.
• Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
• Yuri F. Saporito, 2017. "First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment," Papers 1712.07320, arXiv.org.
• Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2018. "Social aspirations in European banks: peer-influenced risk behavior," EconStor Preprints 172510, ZBW - Leibniz Information Centre for Economics.
• BREITUNG, Jörg & HAFNER, Christian, 2016. "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE 2016004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Einmahl, Jesson & Einmahl, John & de Haan, L.F.M., 2017. "Limits to Human Life Span Through Extreme Value Theory," Discussion Paper 2017-051, Tilburg University, Center for Economic Research.