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Report NEP-RMG-2013-08-31
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Eling, Martin & Pankoke, David, 2013, "Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module," Working Papers on Finance, University of St. Gallen, School of Finance, number 1306, Feb.
- Simon A. Broda, 2013, "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-04, May.
- Hao Liu & Winfried Pohlmeier, 2013, "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series, Rimini Centre for Economic Analysis, number 47_13, Aug.
- Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013, "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers, Bogazici University, Department of Economics, number 2013/12, Dec.
- Ben Ammar, Semir & Eling, Martin, 2013, "Common Risk Factors of Infrastructure Firms," Working Papers on Finance, University of St. Gallen, School of Finance, number 1307, May.
- Filip Zikes & Jozef Barunik, 2013, "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers, arXiv.org, number 1308.4276, Aug.
- Marius del Giudice Rodriguez & Thomas Wu, 2013, "The Effect of Capital Controls and Prudential FX Measures on Options-Implied Exchange Rate Stability," Working Paper Series, Federal Reserve Bank of San Francisco, number 2013-20, May, DOI: 10.24148/wp2013-20.
- D. S. Grebenkov & J. Serror, 2013, "Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model," Papers, arXiv.org, number 1308.5658, Aug.
- Su, EnDer, 2013, "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper, University Library of Munich, Germany, number 49190, Jan.
- Su, EnDer, 2013, "Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets," MPRA Paper, University Library of Munich, Germany, number 48444, Jan.
- Soumik Pal & Ting-Kam Leonard Wong, 2013, "Energy, entropy, and arbitrage," Papers, arXiv.org, number 1308.5376, Aug, revised Jan 2016.
- Ilya Tkachev & Alessandro Abate, 2013, "Computation of ruin probabilities for general discrete-time Markov models," Papers, arXiv.org, number 1308.5152, Aug.
- Kyong-Hui Kim & Myong-Guk Sin, 2013, "Efficient hedging in general Black-Scholes model," Papers, arXiv.org, number 1308.6387, Aug, revised Mar 2014.
- Peter Fuleky & Luigi Ventura & Qianxue Zhao, 2013, "Common correlated effects and international risk sharing," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2013-3R, Mar, revised Aug 2013.
- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013, "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper, Norges Bank, number 2013/19, Aug.
- Ammann, Manuel & Buesser, Ralf, 2013, "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance, University of St. Gallen, School of Finance, number 1304, Apr.
- Olivier Bruno & André Cartapanis & Eric Nasica, 2013, "Bank leverage, financial fragility and prudential regulation," Working Papers, HAL, number halshs-00853701, Aug.
- Peter J. Morgan & Victor Pontines, 2013, "An Asian Perspective on Global Financial Reforms," ADBI Working Papers, Asian Development Bank Institute, number 433, Aug.
- Marcello Basili & Luca Pratelli, 2013, "Aggregation of not necessarily independent opinions," Department of Economics University of Siena, Department of Economics, University of Siena, number 677, Jun.