Printed from https://ideas.repec.org/n/nep-rmg/2016-07-23.html
Report NEP-RMG-2016-07-23
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:
- Marc S. PAOLELLA & Pawel POLAK, 2015, "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-17, Jun.
- Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016, "Insurance valuation: a computable multi-period cost-of-capital approach," Papers, arXiv.org, number 1607.04100, Jul.
- Martin DUDLER & Bruno GMUER & Semyon MALAMUD, 2014, "Risk-Adjusted Time Series Momentum," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-71, Sep, revised Jan 2015.
- Semyon MALAMUD, 2014, "Portfolio Selection with Options and Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-08, Feb.
- Jianxi Su & Edward Furman, 2016, "Multiple risk factor dependence structures: Distributional properties," Papers, arXiv.org, number 1607.04739, Jul.
- Giovanni BARONE-ADESI & Kostas GIANNOPOULOS & Les VOSPER, 2015, "Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-12, Feb.
- Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016, "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1591.
- Jianxi Su & Edward Furman, 2016, "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers, arXiv.org, number 1607.04737, Jul.
- Jochen KRAUSE & Marc S. PAOLELLA, 2014, "A Fast, Accurate Method for Value at Risk and Expected Shortfall," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-40, Jun.
- Dirk Becherer & Klebert Kentia, 2016, "Hedging under generalized good-deal bounds and model uncertainty," Papers, arXiv.org, number 1607.04488, Jul, revised Apr 2017.
- Noth, Felix & Tonzer, Lena, 2015, "Bank Risk Proxies and the Crisis of 2007/09: A Comparison," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 13/2015.
- Marc ARNOLD & Dustin SCHUETTE & Alexander WAGNER, 2014, "Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-24, Mar, revised Jul 2014.
- Hong-Bae Kim, 2016, "portfolio management with Islam Equity in Korea stock market," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 4006501, Aug.
- Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016, "Tail protection for long investors: Trend convexity at work," Papers, arXiv.org, number 1607.02410, Jul.
- Rajna Gibson BRANDON & Nikolay RYABKOV, 2014, "Long/Short Equity Hedge Funds and Systematic Ambiguity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-05, Jan.
- Giuliana Birindelli & Paola Ferretti & Marco Savioli, 2016, "Basel 3: Does One Size Really Fit All Banks' Business Models?," Working Paper series, Rimini Centre for Economic Analysis, number 16-20, Jul.
- Martin Hellwig, 2016, "“Total Assets” versus “Risk Weighted Assets”: Does it matter for MREL requirements?," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2016_12, Jul.
- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016, "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers, arXiv.org, number 1607.02289, Jul, revised Apr 2017.
- Krause, Thomas & Sondershaus, Talina & Tonzer, Lena, 2016, "The Role of Complexity for Bank Risk during the Financial Crisis: Evidence from a Novel Dataset," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 17/2016.
- Didier SORNETTE & Susanne VON DER BECKE, 2011, "Crashes and High Frequency Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-63, Aug.