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Report NEP-RMG-2016-05-28
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:
- Mabelle Sayah, 2016, "Analyzing and Comparing Basel's III Sensitivity Based Approach for the interest rate risk in the trading book," Post-Print, HAL, number hal-01217928, Feb.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017, "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01317391, Jan.
- Fr'ed'eric Vrins, 2016, "Wrong-Way Risk Models: A Comparison of Analytical Exposures," Papers, arXiv.org, number 1605.05100, May.
- Masafumi Nakano & Seisho Sato & Akihiko Takahashi & Soichiro Takahashi, 2016, ""Optimal Portfolio with Particle Filtering" (in Japanese)," CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-J-276, May.
- Farooquee, Arsalan Ali & Shrimali, Gireesh, 2016, "Driving Foreign Investment to Renewable Energy in India: A Payment Security Mechanism to Address Off-Taker Risk," MPRA Paper, University Library of Munich, Germany, number 71241, Apr.
- Damien Ackerer & Damir Filipovi'c, 2016, "Linear Credit Risk Models," Papers, arXiv.org, number 1605.07419, May, revised Jul 2019.
- Charles W. Calomiris & Matthew Jaremski, 2016, "Deposit Insurance: Theories and Facts," NBER Working Papers, National Bureau of Economic Research, Inc, number 22223, May.
- Birgit Rudloff, 2016, "Convex Hedging in Incomplete Markets," Papers, arXiv.org, number 1604.08070, Apr.
- Ewa Marciniak & Zbigniew Palmowski, 2016, "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers, arXiv.org, number 1605.04584, May.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016, "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-17, May.
- Takashi Shinzato, 2016, "Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints," Papers, arXiv.org, number 1605.06845, May.
- Item repec:iwh:dispap:17-16 is not listed on IDEAS anymore
- Hernández del Valle Gerardo & Juárez-Torres Miriam & Guerrero Santiago, 2016, "A Functional Approach to Test Trending Volatility," Working Papers, Banco de México, number 2016-04, Apr.
- Julien Blasco & Graciela Chichilnisky, 2015, "Risk Aversion and Catastrophic Risks: the Pill Experiment," Papers, arXiv.org, number 1604.05672, Aug.
- Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Papers, arXiv.org, number 1605.07099, May, revised Mar 2018.