Report NEP-RMG-2018-06-11

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:

• Richard Gerlach & Chao Wang, 2018. "Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures," Papers 1805.08653, arXiv.org.
• James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
• Laurence Deborgies Sanches & Marno Verbeek, 2018. "Basel methodological heterogeneity and banking system stability: The case of the Netherlands," DNB Working Papers 593, Netherlands Central Bank, Research Department.
• Marco Migueis, 2018. "Is Operational Risk Regulation Forward-looking and Sensitive to Current Risks?," FEDS Notes 2018-05-21-2, Board of Governors of the Federal Reserve System (U.S.).
• Joshua V. Rosenberg, 2018. "Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City," Speech 285, Federal Reserve Bank of New York.
• Alexey Vasilenko, 2018. "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach," Bank of Russia Working Paper Series wps30, Bank of Russia.
• Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two horizons framework," EconomiX Working Papers 2018-25, University of Paris Nanterre, EconomiX.
• Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility estimation," Papers 1801.09956, arXiv.org, revised Mar 2019.
• Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
• Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
• NAKAMURA Nobuhiro & OHASHI Kazuhiko, 2018. "Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns," Discussion papers 18027, Research Institute of Economy, Trade and Industry (RIETI).
• Anouk Levels & René de Sousa van Stralen & Sînziana Kroon Petrescu & Iman van Lelyveld, 2018. "CDS market structure and risk flows: the Dutch case," DNB Working Papers 592, Netherlands Central Bank, Research Department.
• Tan T. M. Le & Franck Martin & Duc K. Nguyen, 2018. "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Economics Working Paper Archive (University of Rennes & University of Caen) 2018-04, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Awin, Ejin, 2018. "Liquidity Risk And Its Determinants': A Study On Oil And Gas Industry In Tatneft," MPRA Paper 86816, University Library of Munich, Germany, revised 15 Apr 2018.
• Metin Ilbasmis & Marc Gronwald & Yuan Zhao, 2018. "Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy," CESifo Working Paper Series 7015, CESifo.
• Wruck, Karen H. & Wu, YiLin, 2017. "Equity Incentives, Disclosure Quality, and Stock Liquidity Risk," Working Paper Series 2017-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Leaver, Meghan & Griffiths, Alex & Reader, Tom W., 2018. "Near misses in financial trading: skills for capturing and averting error," LSE Research Online Documents on Economics 87885, London School of Economics and Political Science, LSE Library.
• PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平, 2018. "Testing for Changes in Forecasting Performance," Discussion Papers 2018-03, Graduate School of Economics, Hitotsubashi University.
• Schwert, Michael, 2016. "Municipal Bond Liquidity and Default Risk," Working Paper Series 2016-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.