Report NEP-RMG-2018-05-14

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:

• David Higgins, 2017. "Does the risk match the returns: an examination of US commercial property market data," ERES eres2017_397, European Real Estate Society (ERES).
• Paul Glasserman & Qi Wu, 2017. "Persistence and Procyclicality in Margin Requirements," Working Papers 17-01, Office of Financial Research, US Department of the Treasury.
• Hassen Raîs, 2016. "Empirical determinants of business insurances in Non-financial Firms: Are they different from derivatives' determinants?," Post-Print hal-01766113, HAL.
• Miao Yuan & Cheng Yong Tang & Yili Hong & Jian Yang, 2018. "Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions," Papers 1804.09302, arXiv.org.
• Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
• Philippe Briand & Romuald Elie & Ying Hu, 2018. "BSDEs with mean reflection," Post-Print hal-01318649, HAL.
• Helena Chulià & Jorge M. Uribe, 2018. "“Together forever? Good and bad market volatility shocks and international consumption risk sharing: A tale of a sign”," IREA Working Papers 201809, University of Barcelona, Research Institute of Applied Economics, revised May 2018.
• Tursoy, Turgut, 2018. "Risk management process in banking industry," MPRA Paper 86427, University Library of Munich, Germany.
• Monia Ben Ltaifa, 2018. "Risk measures in Islamic Banks MounaMoualhi 1 volatility of return on assets, volatility of return equity," Post-Print hal-01761031, HAL.
• Samim Ghamami & Paul Glasserman, 2016. "Does OTC Derivatives Reform Incentivize Central Clearing?," Working Papers 16-07, Office of Financial Research, US Department of the Treasury.
• Fabio Di Vittorio & Delong Li & Hanlei Yun, 2018. "On Bank Consolidation in a Currency Union," IMF Working Papers 18/92, International Monetary Fund.
• Kevin Kuo, 2018. "DeepTriangle: A Deep Learning Approach to Loss Reserving," Papers 1804.09253, arXiv.org, revised Sep 2019.
• Suarez, Ronny, 2018. "Is the Dutch stock market getting riskier?," MPRA Paper 86197, University Library of Munich, Germany.
• Meraj Allahrakha & Benjamin Munyan, 2016. "Do Higher Capital Standards Always Reduce Bank Risk? The Impact of the Basel Leverage Ratio on the U.S. Triparty Repo Market," Working Papers 16-11, Office of Financial Research, US Department of the Treasury.
• Asen Ivanov, 2018. "Optimal Default Policies in Defined Contribution Pension Plans when Employees are Biased," Working Papers 858, Queen Mary University of London, School of Economics and Finance.
• Richard Bookstaber & Dror Kenett, 2016. "Looking Deeper, Seeing More: A Multilayer Map of the Financial System," Briefs 16-06, Office of Financial Research, US Department of the Treasury.
• Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.
• Andrea Aguiar & Dror Y. Kenett & Richard Bookstaber & Thomas Wipf, 2016. "A Map of Collateral Uses and Flows," Working Papers 16-06, Office of Financial Research, US Department of the Treasury.
• Stathis Tompaidis, 2017. "Measuring Systemwide Resilience of Central Counterparties," Briefs 17-03, Office of Financial Research, US Department of the Treasury.