Report NEP-RMG-2013-09-13This 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.
The following items were announced in this report:
- Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
- Philipp König & Kartik Anand & Frank Heinemann, 2013. "The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk," Working Papers 13-31, Bank of Canada.
- Charles Baubion, 2013. "OECD Risk Management: Strategic Crisis Management," OECD Working Papers on Public Governance 23, OECD Publishing.
- Yukihiro Tsuzuki, 2013. "Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")," CARF F-Series CARF-F-325, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "Time Varying Risk Aversion," EIEF Working Papers Series 1322, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2013.
- Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2013. "A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model," Working Papers hal-00853680, HAL.
- Dirk Ulbricht, 2013. "Stock Investments for Old-Age: Less Return, More Risk, and Unexpected Timing," Discussion Papers of DIW Berlin 1324, DIW Berlin, German Institute for Economic Research.