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Report NEP-RMG-2015-03-05
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:
- Patrick Bolton & Neng Wang & Jinqiang Yang, 2015, "Optimal Contracting, Corporate Finance, and Valuation with Inalienable Human Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 20979, Feb.
- Alankar, Ashwin & Blaustein, Peter & Scholes, Myron S., 2014, "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers, Stanford University, Graduate School of Business, number 3086, Jul.
- Ferrari, Stijn & Pirovano, Mara, 2015, "Early warning indicators for banking crises: a conditional moments approach," MPRA Paper, University Library of Munich, Germany, number 62406, Feb.
- Zachary Feinstein & Birgit Rudloff & Stefan Weber, 2015, "Measures of Systemic Risk," Papers, arXiv.org, number 1502.07961, Feb, revised Oct 2016.
- Glauben, Thomas & Prehn, Sören & Dannemann, Tebbe & Brümmer, Bernhard & Loy, Jens-Peter, 2014, "Options trading in agricultural futures markets: A reasonable instrument of risk hedging, or a driver of agricultural price volatility?," IAMO Policy Briefs, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 20e.
- Stefano Battiston & Marco D'Errico & Stefano Gurciullo & Guido Caldarelli, 2015, "Leveraging the network: a stress-test framework based on DebtRank," Papers, arXiv.org, number 1503.00621, Mar, revised Feb 2016.
- Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A., 2014, "When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction," Research Papers, Stanford University, Graduate School of Business, number 3252, Sep.
- Meryem Duygun & Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2015, "Active management and mutual fund performance," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2015/01.
- Piergiorgio Alessandri & Sergio Masciantonio & Andrea Zaghini, 2015, "Tracking banks' systemic importance before and after the crisis," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 259, Jan.
- Thomas Lux & Mawuli K. Segnon & Rangan Gupta, 2015, "Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data," Working Papers, University of Pretoria, Department of Economics, number 201511, Mar.
- Amel-Zadeh, Amir & Barth, Mary E. & Landsman, Wayne R., 2014, "Does Fair Value Accounting Contribute to Procyclical Leverage?," Research Papers, Stanford University, Graduate School of Business, number 3073, Mar.
- Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015, "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers, arXiv.org, number 1502.07397, Feb.
- Luc Bissonnette & Michael Hurd & Pierre-Carl Michaud, 2015, "Individual Survival Curves Comparing Subjective and Observed Mortality Risk," CIRANO Working Papers, CIRANO, number 2015s-08, Feb.
- Gornall, Will & Strebulaev, Ilya A., 2014, "Financing as a Supply Chain: The Capital Structure of Banks and Borrowers," Research Papers, Stanford University, Graduate School of Business, number 3102, Apr.
- Bokusheva, Raushan, 2014, "Improving the Effectiveness of Weather-based Insurance: An Application of Copula Approach," MPRA Paper, University Library of Munich, Germany, number 62339, Jan.
- Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
- Conrad, Christian & Loch, Karin, 2015, "The Variance Risk Premium and Fundamental Uncertainty," Working Papers, University of Heidelberg, Department of Economics, number 0583, Feb.
- Jan Jurczyk & Alexander Eckrot, 2015, "Cross correlations in European government bonds and EuroStoxx," Papers, arXiv.org, number 1502.07367, Feb, revised Jul 2015.
- Michal Kowalik, 2014, "To sell or to borrow: a theory of bank liquidity management," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 14-18, Dec.