Printed from https://ideas.repec.org/n/nep-rmg/2014-02-21.html
Report NEP-RMG-2014-02-21
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:
- Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc, 2014, "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets," Papers, arXiv.org, number 1402.3483, Feb.
- Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014, "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-08 [rev.].
- Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014, "Portfolio optimization using forward-looking information," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-10 [rev.].
- Dominique Guegan & Bertrand K Hassani, 2014, "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14008, Feb.
- Micha{l} Barski, 2014, "On the shortfall risk control -- a refinement of the quantile hedging method," Papers, arXiv.org, number 1402.3725, Feb, revised Dec 2015.
- Dominique Guegan & Bertrand K Hassani, 2014, "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14006, Feb.
- Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014, "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers, arXiv.org, number 1402.3464, Feb.
- Annika Birch & Tomaso Aste, 2014, "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers, arXiv.org, number 1402.3688, Feb.
- Item repec:ipg:wpaper:2014-095 is not listed on IDEAS anymore
- Bin Zou & Abel Cadenillas, 2014, "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers, arXiv.org, number 1402.3560, Feb, revised Mar 2014.
- Item repec:ipg:wpaper:2014-089 is not listed on IDEAS anymore
- Item repec:ipg:wpaper:2014-094 is not listed on IDEAS anymore
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2014, "Multivariate risk sharing and the derivation of individually rational Pareto optima," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00942114, Jan.
- Periklis Gogas & Theophilos Papadimitriou & Anna Agrapetidou, 2014, "Forecasting Bank Credit Ratings," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 9-2014, Feb.
- Amélie Charles & Olivier Darné, 2014, "Volatility persistence in crude oil markets," Post-Print, HAL, number hal-00940312, DOI: 10.1016/j.enpol.2013.10.042.
- Item repec:ipg:wpaper:2014-050 is not listed on IDEAS anymore
- Andersson, Henrik & Risa Hole, Arne & Svensson, Mikael, 2014, "Valuation of small and multiple health risks: A critical analysis of SP data applied to food and water safety," Karlstad University Working Papers in Economics, Karlstad University, Department of Economics, number 11, Feb.
- Item repec:ipg:wpaper:2014-066 is not listed on IDEAS anymore
- M. Koz{l}owska & T. Gubiec & T. R. Werner & M. Denys & A. Sienkiewicz & R. Kutner & Z. Struzik, 2014, "Empirical symptoms of catastrophic bifurcation transitions on financial markets: A phenomenological approach," Papers, arXiv.org, number 1402.4047, Feb.
- Item repec:ipg:wpaper:2014-090 is not listed on IDEAS anymore