Report NEP-RMG-2013-08-23

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:

• Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
• Härdle, Wolfgang Karl & Prastyo, Dedy Dwi, 2013. "Default risk calculation based on predictor selection for the Southeast Asian industry," SFB 649 Discussion Papers 2013-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2013. "How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment," Working Paper Series 1546, European Central Bank.
• Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
• Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series 1574, European Central Bank.
• Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
• A. K. Bahl & O. Baltzer & A. Rau-Chaplin & B. Varghese & A. Whiteway, 2013. "Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs," Papers 1308.2572, arXiv.org.