Report NEP-RMG-2014-11-07

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Contino, Christian & Gerlach, Richard, 2014, "Bayesian Tail Risk Forecasting using Realised GARCH," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-05, Oct.
• Mark H. A. Davis, 2014, "Verification of internal risk measure estimates," Papers, arXiv.org, number 1410.4382, Oct, revised Nov 2015.
• Carlos Abad & Garud Iyengar, 2014, "Portfolio Selection with Multiple Spectral Risk Constraints," Papers, arXiv.org, number 1410.5328, Oct, revised Mar 2015.
• Bec, Frédérique & Gollier, Christian, 2014, "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," TSE Working Papers, Toulouse School of Economics (TSE), number 14-523, Sep.
• Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014, "Options delta hedging with no options at all," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2014-27.
• Lakshmi Balasubramanyan, 2014, "Differential Capital Requirements: Leverage Ratio versus Risk-Based Capital Ratio from a Monitoring Perspective," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1415, Oct, DOI: 10.26509/frbc-wp-201415.
• John Cotter & Enrique Salvador, 2014, "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers, arXiv.org, number 1410.6005, Oct.
• Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014, "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-09, Sep.
• Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013, "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 164.
• Silvia Muzzioli, 2013, "The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods," Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi", number 0029, Dec.
• Michael R. CARTER & Alain de JANVRY & Elisabeth SADOULET & Alexandros SARRIS, 2014, "Index-based weather insurance for developing countries: A review of evidence and a set of propositions for up-scaling," Working Papers, FERDI, number P111, Sep.
• Item repec:hal:wpaper:hal-00863562 is not listed on IDEAS anymore

Report NEP-RMG-2014-11-07

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: