Report NEP-RMG-2014-03-15

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:

• Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2014. "World gold prices and stock returns in China: insights for hedging and diversification strategies," Working Papers 2014-110, Department of Research, Ipag Business School.
• Truc Le, 2014. "Intrinsic Prices Of Risk," Papers 1403.0333, arXiv.org, revised Aug 2014.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
• Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
• Michael B. Walker, 2014. "Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market Models," Papers 1403.2060, arXiv.org.
• Thierry Roncalli, 2014. "Introduction to Risk Parity and Budgeting," Papers 1403.1889, arXiv.org.
• Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
• Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank.
• John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
• Guizani, Brahim, 2014. "Capital Requirements, Banking Supervision and Lending Behavior: Evidence from Tunisia," MPRA Paper 54234, University Library of Munich, Germany.
• Chris van Heerden & Frans Dreyer & Susari Geldenhuys, 2014. "Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize," Working Papers 423, Economic Research Southern Africa.
• Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto, 2014. "The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region," Working Papers 2014-132, Department of Research, Ipag Business School.
• John Cotter & Niall O'Sullivan & Francesco Rossi, 2014. "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers 201403, Geary Institute, University College Dublin.
• Misund, Bard & Mohn, Klaus, 2014. "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance 2014/4, University of Stavanger.
• Michele Fratianni & John Pattison, 2014. "Basel III, Clubs and Eurozone Asymmetries," Mo.Fi.R. Working Papers 94, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
• Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
• David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.