17 documents matched the search for the 2017-07-02 issue of the NEP report on Risk Management (nep-rmg), currently edited by Stan Miles.
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111
Risk Model Based on General Compound Hawkes Process,
Anatoliy Swishchuk,
from arXiv.org
(2017)
Extreme portfolio loss correlations in credit risk,
Andreas M\"uhlbacher and Thomas Guhr,
from arXiv.org
(2017)
Modeling and forecasting electricity price jumps in the Nord Pool power market,
Oskar Knapik,
from Department of Economics and Business Economics, Aarhus University
(2017)
Keywords: autoregressive order probit model, categorical time series, seasonality, electricity prices, Nord Pool power market, forecasting, autoregressive multinomial model, fundamental price drivers
Identification of Credit Risk Based on Cluster Analysis of Account Behaviours,
Maha Bakoben, Tony Bellotti and Niall Adams,
from arXiv.org
(2017)
Die Genossenschaftliche Institutssicherung – ein notwendiges Instrument zur Stärkung des Kundenvertrauens und des Risikomanagements im dezentralen Bankenverbund,
Peter Gleber,
from IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main
(2017)
Smoothing Algorithms by Constrained Maximum Likelihood,
Bill Huajian Yang,
from University Library of Munich, Germany
(2017)
Keywords: Credit loss estimation, risk scale, constrained maximum likelihood, PD term structure, rating migration probability
The leverage ratio, risk-taking and bank stability,
Jonathan Acosta Smith, Michael Grill and Jan Hannes Lang,
from European Central Bank
(2017)
Keywords: bank capital, Basel III, leverage ratio, risk-taking
Mortgage Default in an Estimated Model of the U.S. Housing Market,
Lambertini Luisa, Victoria Nuguer and Pinar Uysal,
from Banco de México
(2017)
Keywords: Housing;Mortgage Default;DSGE model;Bayesian Estimation
Subprime Mortgages and Banking in a DSGE Model,
Martino Ricci and Patrizio Tirelli,
from University of Milano-Bicocca, Department of Economics
(2017)
Keywords: Housing, Mortgage default, subprime risk, DSGE
Systemic risk for financial institutions of major petroleum-based economies: The role of oil,
Ahmed Khalifa, Massimiliano Caporin, Michele Costola and Shawkat Hammoudeh,
from Leibniz Institute for Financial Research SAFE
(2017)
Keywords: Systemic risk, risk measurement, VaR, ΔCoVaR, oil, financial institutions, petroleum-based economies
Primary Dealers' Behavior during the 2007-08 Crisis: Part I, Repo Runs,
Rajkamal Iyer and Marco Macchiavelli,
from Board of Governors of the Federal Reserve System (U.S.)
(2017)
Realized Stochastic Volatility with General Asymmetry and Long Memory,
Manabu Asai, Chia-Lin Chang and Michael McAleer,
from Tinbergen Institute
(2017)
Keywords: Stochastic Volatility; Realized Measure; Long Memory; Asymmetry; Whittle likelihood
Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles,
Elie Bouri, Rangan Gupta, Chi Keung Lau, David Roubaud and Shixuan Wang,
from University of Pretoria, Department of Economics
(2017)
Keywords: Bitcoin; global financial stress index; dependence; copula; quantiles
Information Contagion and Systemic Risk,
Co-Pierre Georg and Toni Ahnert,
from Economic Research Southern Africa
(2017)
Keywords: COVID-19, investment, public health, Risk and Uncertainty
Welfare analysis of bank capital requirements with endogenous default,
Fernando Garcia-Barragan and Guangling Liu,
from Economic Research Southern Africa
(2017)
Keywords: business analysis, DSGE, Market Regulation, Other Macroeconomic Variables, Welfare
Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views,
Fabrice Borel-Mathurin, Stéphane Loisel and Johan Segers,
from EIOPA, Risks and Financial Stability Department
(2017)
Keywords: Insurance, Extreme Value Theory, Financial Regulation, Solvency II, Solvency Capital Requirement, Loss Absorbing Capacities, Stress Tests, Enterprise Risk Management
Assessing Systemic Risk of the European Insurance Industry,
Elia Berdin and Matteo Sottocornola,
from EIOPA, Risks and Financial Stability Department
(2015)
Keywords: Insurance, Systemic Risk, financial stability
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