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Report NEP-RMG-2014-09-05
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:
- Maciej J. Capi'nski, 2014, "Hedging Conditional Value at Risk with Options," Papers, arXiv.org, number 1408.6673, Aug, revised Apr 2015.
- Galen Sher & Giuseppe Loiacono, 2013, "Maturity Transformation and Interest Rate Risk in Large European Bank Loan Portfolios," EcoMod2013, EcoMod, number 5442, Jun.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Volatility jumps and their economic determinants," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-27, Aug.
- Cedric Okou & Eric Jacquier, 2014, "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers, CIRANO, number 2014s-36, Jul.
- Anindya Goswami & Jeeten Patel & Poorva Sevgaonkar, 2014, "The optimal hedging in a semi-Markov modulated market," Papers, arXiv.org, number 1408.5266, Aug.
- Huyen Pham, 2014, "Long time asymptotics for optimal investment," Papers, arXiv.org, number 1408.6455, Aug.