Report NEP-RMG-2018-01-29

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:

• Kévin Spinassou & Leo Indra Wardhana, 2021. "Basel framework and profit-sharing contracts: Islamic banking through the lens of capital requirements," Working Papers hal-01674376, HAL.
• Shigeyuki Hamori & Minami Kawai & Takahiro Kume & Yuji Murakami & Chikara Watanabe, 2018. "Ensemble Learning or Deep Learning? Application to Default Risk Analysis," Discussion Papers 1802, Graduate School of Economics, Kobe University.
• Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
• Tetiana Davydiuk, 2017. "Dynamic Bank Capital Requirements," 2017 Meeting Papers 1328, Society for Economic Dynamics.
• Xu, Xiu & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2016. "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers 2016-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Catalina Bolancé & Raluca Vernic, 2017. "“Multivariate count data generalized linear models: Three approaches based on the Sarmanov distribution”," IREA Working Papers 201718, University of Barcelona, Research Institute of Applied Economics, revised Oct 2017.
• Simona Malovana, 2017. "Banks’ Capital Surplus and the Impact of Additional Capital Requirements," Working Papers IES 2017/28, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2017.
• Joseph Hughes & Choon-Geol Moon, 2018. "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers 201802, Rutgers University, Department of Economics.
• Alessi, Lucia & Cannas, Giuseppina & Maccaferri, Sara & Petracco Giudici, Marco, 2017. "The European Deposit Insurance Scheme: Assessing risk absorption via SYMBOL," JRC Working Papers in Economics and Finance 2017-12, Joint Research Centre, European Commission.
• Song, Zheng (Michael) & Xiong, Wei, 2018. "Risks in China’s financial system," BOFIT Discussion Papers 1/2018, Bank of Finland, Institute for Economies in Transition.
• Ruenzi, Stefan & Weigert, Florian, 2017. "Momentum and Crash Sensitivity," Working Papers on Finance 1801, University of St. Gallen, School of Finance.
• Evzen Kocenda & Michala Moravcova, 2017. "Exchange Rate Co-movements, Hedging and Volatility Spillovers in New EU Forex Markets," Working Papers IES 2017/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2017.
• V'ictor Gallego & Pablo Su'arez-Garc'ia & Pablo Angulo & David G'omez-Ullate, 2018. "Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model," Papers 1801.03050, arXiv.org, revised May 2019.
• Thibault Gajdos & John A Weymark & Claudio Zoli, 2018. "Feasible Shared Destiny Risk Distributions," Vanderbilt University Department of Economics Working Papers 18-00002, Vanderbilt University Department of Economics.
• Le Liu & Xiao-Yang Li & Enrico Zio & Rui Kang & Tong-Min Jiang, 2017. "Model Uncertainty in Accelerated Degradation Testing Analysis," Post-Print hal-01652218, HAL.
• Yasaman Karami & Kenichiro Shiraya, 2018. "An approximation formula for normal implied volatility under general local stochastic volatility models," CARF F-Series CARF-F-427, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018. "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers 1221, Board of Governors of the Federal Reserve System (U.S.).
• Juan Jose Viquez & Alexander Campos & Jorge Loria & Luis Alfredo Mendoza & Jorge Aurelio Viquez, 2017. "Demographic Modeling Via 3-dimensional Markov Chains," Papers 1801.04841, arXiv.org.
• Don Schlagenhauf & Carlos Garriga, 2017. "Identifying "Default Thresholds" in Consumer Liabilities Using High Frequency Data," 2017 Meeting Papers 1305, Society for Economic Dynamics.
• Quinn Culver & Dennis Heitmann & Christian Wei{ss}, 2018. "The Influence of Seed Selection on the Solvency II Ratio," Papers 1801.05409, arXiv.org, revised Feb 2018.
• Majda Lachhab & Cédrick Béler & Erlyn Solano-Charris & Thierry Coudert, 2017. "Towards an integration of systems engineering and project management processes for a decision aiding purpose," Post-Print hal-01658004, HAL.