Printed from https://ideas.repec.org/n/nep-rmg/2016-04-09.html
Report NEP-RMG-2016-04-09
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:
- Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo, 2016, "On the properties of the Lambda value at risk: robustness, elicitability and consistency," Papers, arXiv.org, number 1603.09491, Mar, revised Feb 2017.
- Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015, "Time-varying risk premium in large cross-sectional equity datasets," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:76321.
- Russell Barker & Andrew Dickinson & Alex Lipton & Rajeev Virmani, 2016, "Systemic Risks in CCP Networks," Papers, arXiv.org, number 1604.00254, Apr.
- Ivanenko, Victor & Pasichnichenko, Illia, 2016, "Expected utility for nonstochastic risk," MPRA Paper, University Library of Munich, Germany, number 70433, Apr.
- Mohamed Amine Lkabous & Irmina Czarna & Jean-Franc{c}ois Renaud, 2016, "Parisian ruin for a refracted L\'evy process," Papers, arXiv.org, number 1603.09324, Mar, revised Mar 2017.
- Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016, "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 22116, Mar.
- Agostino Capponi & Lijun Bo, 2016, "Robust Optimization of Credit Portfolios," Papers, arXiv.org, number 1603.08169, Mar.
- Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.