Report NEP-RMG-2014-09-29

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:

• Toshinao Yoshiba, 2013. "Risk Aggregation by a Copula with a Stressed Condition," Bank of Japan Working Paper Series 13-E-12, Bank of Japan.
• Vander Hoorn, S. & Knapp, S., 2014. "A multi-layered risk exposure assessment approach for the shipping industry," Econometric Institute Research Papers EI2014-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Bertrand Hassani & Alexis Renaudin, 2013. "The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios," Post-Print halshs-00795046, HAL.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
• Minamihashi, Naoaki & Wakamori, Naoki, 2014. "How Would Hedge Fund Regulation Affect Investor Behavior? Implications for Systemic Risk," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 473, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
• Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org, revised May 2015.
• Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.
• Ergys Islamaj & Maziar Kazemi, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
• Maiya Anokhina & Henry Penikas & Victor Petrov, 2014. "Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia," DEM Working Papers Series 085, University of Pavia, Department of Economics and Management.
• Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian Assessment of Dynamic Quantile Forecasts," Working Papers 2014-04, University of Sydney Business School, Discipline of Business Analytics.
• Thomas Brand & Fabien Tripier, 2014. "Risk shocks and divergence between the Euro area and the US," Working Papers 2014-11, CEPII research center.
• Rohini Grover & Ajay Shah, 2014. "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-031, Indira Gandhi Institute of Development Research, Mumbai, India.