#RiskManagement – Working papers (#RePEc, 10/04/2014)


Source: RePEc – EconPapers

Omega risk model with tax
Zhenyu Cui 
Created/Revised: 2014-03Downloads

Growing Risk in the Insurance Sector
Motohiro Yogo and Ralph S.J. Koijen 
Federal Reserve Bank of Minneapolis
Keywords: Shadow insurance; Life insurance
Created/Revised: 2014-03-24Downloads

Some optimization and decision problems in proportional reinsurance
Anna Castañer, M.Mercè Claramunt and Maite Mármol 
Universitat de Barcelona, Facultat d’Economia i Em…
Keywords: Deficit at ruin, Gerber-Shiu function, Risk measures.
JEL-code: G22
Created/Revised: 2014Downloads

Are credit ratings time-homogeneous and Markov?
Pedro Lencastre, Frank Raischel, Pedro G. Lind and Tim Rogers 
Created/Revised: 2014-03Downloads

Maximum drawdown, recovery, and momentum
Jaehyung Choi 
Created/Revised: 2014-03Downloads

Rational blinders: strategic selection of risk models and bank capital regulation
Jean-Edouard Colliard 
European Central Bank
Keywords: Basel risk-weights, internal risk models, leverage ratio, tail risk
Created/Revised: 2014-02Downloads

Market pricing of credit rating signals
Magdalena Grothe 
European Central Bank
Keywords: corporate bond spreads, credit ratings, pricing of risk
Created/Revised: 2013-12Downloads

Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
Daniel Harenberg and Alexander Ludwig 
CER-ETH – Center of Economic Research (CER-ETH) at…
Keywords: Social security; idiosyncratic risk; aggregate risk; welfare
JEL-code: C68 E27 E62 G12 H55
Created/Revised: 2014-03Downloads

Credit Growth and Bank Capital Requirements: Binding or Not?
C. Labonne and G. Lamé 
Banque de France
Keywords: Lending, Bank Regulation, Capital.
JEL-code: G21 G28 G32
Created/Revised: 2014Downloads

10 Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions
Dominique Guegan and Bertrand Hassani 
Keywords: Risk; VaR; distorsion measures
Created/Revised: 2014-02Downloads

11 Conditional and joint credit risk
André Lucas, Bernd Schwaab and Xin Zhang 
European Central Bank
Keywords: financial stability, higher order moments, sovereign credit risk, time-varying parameters
Created/Revised: 2013-12Downloads

12 Commonality in hedge fund returns: driving factors and implications
Matthieu Bussiere, Marie Hoerova and Benjamin Klaus 
European Central Bank
Keywords: commonality, financial crisis, hedge funds, liquidity, risk factors
Created/Revised: 2014-03Downloads

13 Observation driven mixed-measurement dynamic factor models with an application to credit risk
Drew Dennis Creal, Bernd Schwaab, Siem Jan Koopman and André Lucas 
European Central Bank
Keywords: default risk, dynamic beta density, dynamic factor model, dynamic ordered probit, loss given default…
Created/Revised: 2013-12Downloads

14 Forecasting credit card portfolio losses in the Great Recession: a study in model risk
Jose J. Canals-Cerda and Sougata Kerr 
Federal Reserve Bank of Philadelphia
Keywords: Credit cards; Credit risk; Stress test; Regulatory capital
JEL-code: G20 G32 G33
Created/Revised: 2014-03-31Downloads

15 Market exposure and endogenous firm volatility over the business cycle
Ryan Decker, D’Erasmo, Pablo and Hernan Moscoso Boedo 
Federal Reserve Bank of Philadelphia
Keywords: Endogenous idiosyncratic risk; Business cycles; Market exposure;
JEL-code: D21 D22 E32 L11 L25
Created/Revised: 2014-03-24Downloads

16 Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher and Philip Ngare 
Created/Revised: 2014-04Downloads

17 An agent-based computational model for China’s stock market and stock index futures market
Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou 
Created/Revised: 2014-03Downloads

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