Printed from https://ideas.repec.org/n/nep-rmg/2015-12-01.html
Report NEP-RMG-2015-12-01
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:
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-16, Nov.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015, "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-19, Nov.
- Francq, Christian & Zakoian, Jean-Michel, 2015, "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper, University Library of Munich, Germany, number 68100, Nov.
- Chkili, Walid, 2015, "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper, University Library of Munich, Germany, number 68110.
- Marcelo Brutti Righi, 2015, "A composition between risk and deviation measures," Papers, arXiv.org, number 1511.06943, Nov, revised May 2018.
- Jaeger, Carlo, 2015, "The coming breakthrough in risk research," Economics Discussion Papers, Kiel Institute for the World Economy, number 2015-65.
- Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015, "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers, Business School - Economics, University of Glasgow, number 2015_24, Oct.
- Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015, "An Application of Correlation Clustering to Portfolio Diversification," Papers, arXiv.org, number 1511.07945, Nov.
- Item repec:hhs:bofitp:2015_030 is not listed on IDEAS anymore
- Victoria Dobrynskaya, 2015, "Upside and Downside Risks in Momentum Returns," HSE Working papers, National Research University Higher School of Economics, number WP BRP 50/FE/2015.
- Yves Dominicy, 2014, "Quantile-based inference and estimation of heavy-tailed distributions," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/209311, Apr.
- Peydró, José-Luis & Sette, Enrico & Polo, Andrea & Ippolito, Filippo, 2015, "Double Bank Runs and Liquidity Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10948, Nov.
- Item repec:hal:wpaper:hal-01141228 is not listed on IDEAS anymore