Report NEP-RMG-2017-12-03

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:

• Adrian, Tobias, 2017. "Risk Management and Regulation," CEPR Discussion Papers 12422, C.E.P.R. Discussion Papers.
• John Armstrong & Damiano Brigo, 2017. "Optimizing S-shaped utility and implications for risk management," Papers 1711.00443, arXiv.org, revised Jan 2018.
• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Leibniz Institute for Financial Research SAFE.
• Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Papers 1710.11512, arXiv.org.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017. "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper 82218, University Library of Munich, Germany.
• Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
• Wenhao Li & Bolong Wang & Tianxiang Shen & Ronghua Zhu & Dehui Wang, 2017. "Research on ruin probability of risk model based on AR(1) series," Papers 1710.10692, arXiv.org.
• Zied Ben Salah & Jos'e Garrido, 2017. "On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model," Papers 1710.11065, arXiv.org, revised Jun 2018.
• Gandy, Axel & Veraart, Luitgard A. M., 2017. "A Bayesian methodology for systemic risk assessment in financial networks," LSE Research Online Documents on Economics 66312, London School of Economics and Political Science, LSE Library.
• Michel Baes & Cosimo Munari, 2017. "A continuous selection for optimal portfolios under convex risk measures does not always exist," Papers 1711.00370, arXiv.org.
• Emanuel Kopp & Lincoln Kaffenberger & Christopher Wilson, 2017. "Cyber Risk, Market Failures, and Financial Stability," IMF Working Papers 17/185, International Monetary Fund.
• Stefan Rass, 2017. "On Game-Theoretic Risk Management (Part Three) - Modeling and Applications," Papers 1711.00708, arXiv.org.
• Dzhamaev, Donat Sh. & Okulov, Vitaliy L., 2016. "Empirical Investigation on Price Risk Hedging of Emerging Countries Airline Companies," Conference Papers 8618, Graduate School of Management, St. Petersburg State University.
• Loukianova, Anna E. & Smirnova, Ekaterina, 2016. "The Corporate Risk-Management Strategy on Emerging Markets: Diving Through the Crisis," Conference Papers 8681, Graduate School of Management, St. Petersburg State University.
• Sheheryar Malik & TengTeng Xu, 2017. "Interconnectedness of Global Systemically-Important Banks and Insurers," IMF Working Papers 17/210, International Monetary Fund.
• Ralph Chami & Thomas F. Cosimano & Emanuel Kopp & Celine Rochon, 2017. "Back to the Future: The Nature of Regulatory Capital Requirements," IMF Working Papers 17/181, International Monetary Fund.
• Santiago Gamba & Oscar Jaulín & Angélica Lizarazo & Juan Carlos Mendoza & Paola Morales & Daniel Osorio & Eduardo Yanquen, 2017. "SYSMO I: A Systemic Stress Model for the Colombian Financial System," Borradores de Economia 1028, Banco de la Republica de Colombia.
• Divesh Aggarwal & Gavin K. Brennen & Troy Lee & Miklos Santha & Marco Tomamichel, 2017. "Quantum attacks on Bitcoin, and how to protect against them," Papers 1710.10377, arXiv.org.
• Elias Minaya & Miguel Cabello, 2017. "Macroprudential Policies in Peru: The effects of Dynamic Provisioning and Conditional Reserve Requirements," BIS Working Papers 675, Bank for International Settlements.
• Beccalli, Elena & Frantz, Pascal, 2016. "Why are some banks recapitalized and others taken over?," LSE Research Online Documents on Economics 67305, London School of Economics and Political Science, LSE Library.
• Eliana Balla & Laurel Mazur & Edward Simpson Prescott & John R. Walter, 2017. "Comparison of Small Bank Failures and FDIC Losses in the 1986–92 and 2007–13 Banking Crises," Working Papers (Old Series) 1719, Federal Reserve Bank of Cleveland.
• Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
• Andrew Ellul & Marco Pagano & Annalisa Scognamiglio, 2017. "Career Risk and Market Discipline in Asset Management," CSEF Working Papers 489, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Mar 2019.