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Report NEP-RMG-2014-12-03
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:
- Dominique Guegan & Bertrand Hassani, 2014, "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Post-Print, HAL, number halshs-00969242, Feb.
- Matros, Philipp & Vilsmeier, Johannes, 2014, "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers, Deutsche Bundesbank, number 20/2014.
- Dominique Guegan & Bertrand Hassani, 2014, "Stress Testing Engineering: the real risk measurement?," Post-Print, HAL, number halshs-00951593, Feb.
- Chao, Wang & Richard, Gerlach, 2014, "Forecasting risk via realized GARCH, incorporating the realized range," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-06, Nov.
- Feng, Xiaoguang & Hayes, Dermot, 2014, "Diversifying Systemic Risk in Agriculture---A Copula-based Approach," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170579, DOI: 10.22004/ag.econ.170579.
- Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral, 2014, "Two maxentropic approaches to determine the probability density of compound risk losses," Papers, arXiv.org, number 1411.5625, Nov, revised Nov 2014.
- Item repec:imf:imfwpa:14/155 is not listed on IDEAS anymore
- Wu, Feng & Guan, Zhengfei, 2014, "Efficient Estimation of Risk Attitude with Seminonparametric Risk Modeling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170625, DOI: 10.22004/ag.econ.170625.
- Guan, Zhengfei & Wu, Feng, 2014, "Non-Optimal Behavior and Estimation of Risk Preferences," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170636, May, DOI: 10.22004/ag.econ.170636.
- Hoerova, Marie & Bekaert, Geert, 2014, "The VIX, the variance premium and stock market volatility," Working Paper Series, European Central Bank, number 1675, May.
- Jihun Han & Hyungbin Park, 2014, "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers, arXiv.org, number 1411.4606, Nov, revised Sep 2015.
- Tröger, Tobias H., 2014, "How special are they? Targeting systemic risk by regulating shadow banking," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 83.
- Busby, Gwenlyn M. & Geiger, Richelle & Mercer, D. Evan, 2014, "Spatial interactions in wildfire risk management decisions," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170714, DOI: 10.22004/ag.econ.170714.
- Item repec:qmw:qmwecw:wp732 is not listed on IDEAS anymore
- Hac`ene Djellout & Arnaud Guillin & Yacouba Samoura, 2014, "Large deviations of the realized (co-)volatility vector," Papers, arXiv.org, number 1411.5159, Nov.
- Xiaolin Luo & Pavel V. Shevchenko, 2014, "Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization," Papers, arXiv.org, number 1411.5453, Nov, revised Apr 2015.
- Zhen, Miao & Qiu, Feng & Rude, James & Unterschultz, James, 2014, "Asymmetric Price Transmission and Volatility Spillovers," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170151, DOI: 10.22004/ag.econ.170151.
- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014, "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-938, Aug.