Report NEP-RMG-2018-04-02

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:

• Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model of Central Counterparty Risk," Papers 1803.02012, arXiv.org.
• Zineddine Alla & Raphael A Espinoza & Qiaoluan H. Li & Miguel A. Segoviano, 2018. "Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses," IMF Working Papers 18/49, International Monetary Fund.
• Anastasios Petropoulos & Vasilis Siakoulis & Dionysios Mylonas & Aristotelis Klamargias, 2018. "A combined statistical framework for forecasting default rates of Greek Financial Institutions' credit portfolios," Working Papers 243, Bank of Greece.
• Paul J.J. Welfens, 2018. "International Risk Management in BREXIT and Policy Options," EIIW Discussion paper disbei242, Universitätsbibliothek Wuppertal, University Library.
• Neumann, Tobias, 2018. "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers 708, Bank of England.
• David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2018. "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Working Papers hal-01710394, HAL.
• Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
• Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
• Sen, Ishita & Humphry, David, 2018. "Capital regulation and product market outcomes," Bank of England working papers 715, Bank of England.
• Viet-Dung Tran & M. Kabir Hassan & Reza Houston, 2018. "Ownership Structure and Bank Risk: The Effects of Crisis, Market Discipline and Regulatory Pressure," NFI Working Papers 2018-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
• Julien Hok & Shih-Hau Tan, 2018. "Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method," Papers 1803.03941, arXiv.org.
• Oriol Carreras & E Philip Davis & Ian Hurst & Iana Liadze & Rebecca Piggott & James Warren, 2018. "Implementing Macroprudential Policy in NiGEM," National Institute of Economic and Social Research (NIESR) Discussion Papers 490, National Institute of Economic and Social Research.
• Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
• Benetton, Matteo & Bracke, Philippe & Garbarino, Nicola, 2018. "Down payment and mortgage rates: evidence from equity loans," Bank of England working papers 713, Bank of England.
• Vaclav Broz & Lukas Pfeifer & Dominika Kolcunova, 2017. "Are the Risk Weights of Banks in the Czech Republic Procyclical? Evidence from Wavelet Analysis," Working Papers 2017/15, Czech National Bank.
• E. Jondeau & J-G. Sahuc, 2018. "A General Equilibrium Appraisal of Capital Shortfall," Working papers 668, Banque de France.
• Chakraborty, Chiranjit & Gimpelewicz, Mariana & Uluc, Arzu, 2017. "A tiger by the tail: estimating the UK mortgage market vulnerabilities from loan-level data," Bank of England working papers 703, Bank of England.
• Arito Ono, Kosuke Aoki & hinichi Nishioka & Kohei Shintani & Yosuke Yasui, 2018. "Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data," Working Papers e119, Tokyo Center for Economic Research.
• Aikman, David & Haldane, Andrew & Hinterschweiger, Marc & Kapadia, Sujit, 2018. "Rethinking financial stability," Bank of England working papers 712, Bank of England.
• Serafín Frache & Javier García-Cicco & Jorge Ponce, 2017. "Countercyclical Prudential Tools in an Estimated DSGE Model," Documentos de Trabajo (working papers) 0917, Department of Economics - dECON.