Report NEP-RMG-2014-05-09

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:

• Lisa R. Goldberg & Ola Mahmoud, 2014, "Drawdown: From Practice to Theory and Back Again," Papers, arXiv.org, number 1404.7493, Apr, revised Sep 2016.
• Eleonora Iachini & Stefano Nobili, 2014, "An indicator of systemic liquidity risk in the Italian financial markets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 217, Apr.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014, "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-08, revised Apr 2014.
• Item repec:wyi:wpaper:001986 is not listed on IDEAS anymore

• Andrew Green & Chris Kenyon, 2014, "MVA: Initial Margin Valuation Adjustment by Replication and Regression," Papers, arXiv.org, number 1405.0508, May, revised Jan 2015.
• Hajo Holzmann & Matthias Eulert, 2014, "The role of the information set for forecasting - with applications to risk management," Papers, arXiv.org, number 1404.7653, Apr.
• Andrew Green & Chris Kenyon, 2014, "KVA: Capital Valuation Adjustment," Papers, arXiv.org, number 1405.0515, May, revised Oct 2014.
• Michele Leonardo Bianchi, 2014, "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 957, Apr.
• Safarian, Mher, 2014, "Hedging options including transaction costs in incomplete markets," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 56, DOI: 10.5445/IR/1000040413.
• Przemys{l}aw Klusik, 2014, "Market risk modelling in Solvency II regime and hedging options not using underlying," Papers, arXiv.org, number 1405.1212, May.
• Chenghu Ma & Wing-Keung Wong, 2013, "Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Emmanuel Haven & Xiaoquan Liu & Chenghu Ma & Liya Shen, 2013, "Revealing the Implied Risk-neutral MGF with the Wavelet Method," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Qian Han, 2013, "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014, "Default Probability Estimation via Pair Copula Constructions," Papers, arXiv.org, number 1405.1309, May, revised Aug 2015.
• Takashi Shinzato, 2014, "Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model," Papers, arXiv.org, number 1404.5222, Apr, revised Apr 2014.
• Item repec:wyi:journl:002103 is not listed on IDEAS anymore

• Item repec:wyi:journl:002064 is not listed on IDEAS anymore

• Item repec:wyi:journl:002095 is not listed on IDEAS anymore

• Kurmas Akdogan & Burcu Deniz Yildirim, 2014, "Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1412.
• Aptus, Elias & Britz, Volker & Gersbach, Hans, 2014, "On the economics of crisis contracts," CFS Working Paper Series, Center for Financial Studies (CFS), number 453.
• Xiaobing Feng & Haibo Hu, 2014, "Measurement and Internalization of Systemic Risk in a Global Banking Network," Papers, arXiv.org, number 1404.5689, Apr.
• Li, Minqiang, 2014, "Aumann and Serrano's Economic Index of Risk for Sums of Gambles," MPRA Paper, University Library of Munich, Germany, number 55697, May.
• Müller, Kirsten & Musshoff, Oliver & Weber, Ron, 2014, "The more the better? How collateral levels affect credit risk in agricultural microfinance," DARE Discussion Papers, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE), number 1402.
• Mohanty, Roshni & P, Srinivasan, 2014, "The Time-Varying Risk and Return Trade Off in Indian Stock Markets," MPRA Paper, University Library of Munich, Germany, number 55660, May.
• Item repec:wyi:journl:002090 is not listed on IDEAS anymore

• Item repec:wyi:journl:002184 is not listed on IDEAS anymore

• Vuillemey, G. & R gis Breton, 2014, "Endogenous Derivative Networks," Working papers, Banque de France, number 483.
• Bell, Peter Newton, 2014, "Properties of time averages in a risk management simulation," MPRA Paper, University Library of Munich, Germany, number 55803, May.
• Item repec:wyi:wpaper:002210 is not listed on IDEAS anymore

• Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014, "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2014_05, Apr.
• Item repec:wyi:wpaper:001998 is not listed on IDEAS anymore

• Item repec:wyi:journl:002211 is not listed on IDEAS anymore

Report NEP-RMG-2014-05-09

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: