Report NEP-RMG-2015-11-21

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Gerlach, Richard & Wang, Chao, 2015. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures," Working Papers 2015-07, University of Sydney Business School, Discipline of Business Analytics.
• Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem, 2015. "Fat tails and copulas: limits of diversification revisited," Working Papers 2015-06, University of Sydney Business School, Discipline of Business Analytics.
• Toni Beutler & Robert Bichsel & Adrian Bruhin & Jayson Danton, 2015. "The Impact of Interest Rate Risk on Bank Lending," Working Papers 15.05, Swiss National Bank, Study Center Gerzensee.
• Jamie Fairbrother & Amanda Turner & Stein Wallace, 2015. "Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables," Papers 1511.04935, arXiv.org, revised Apr 2017.
• Renata Karkowska, 2015. "WHAT KIND OF SYSTEMIC RISKS DO WE FACE IN THE EUROPEAN BANKING SECTOR? THE APPROACH OF CoVaR MEASURE," Faculty of Management Working Paper Series 12015, University of Warsaw, Faculty of Management.
• Sofiene El Aoud & Frédéric Abergel, 2014. "Calibration of a stock's beta using options prices," Post-Print hal-01006405, HAL.
• Pierre-Emmanuel Darpeix, 2015. "Systemic risk and insurance," PSE Working Papers halshs-01227969, HAL.
• Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
• Pierre Chaigneau & Louis Eeckhoudt, 2015. "Downside Risk Neutral Probabilities," Cahiers de recherche 1521, CIRPEE.
• Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
• Gerlach, R & Sutton, M & Vasnev, A, 2015. "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers 2015-02, University of Sydney Business School, Discipline of Business Analytics.
• Thor Pajhede, 2015. "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers 15-18, University of Copenhagen. Department of Economics.