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Report NEP-RMG-2016-07-30
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:
- Belloni, Alexandre. & Chen, Mingli & Chernozhukov, Victor, 2016, "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Financial Risk Management," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1125.
- Takahiro Hattori, 2016, "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2016-018, Jul.
- c{C}au{g}{i}n Ararat & Birgit Rudloff, 2016, "Dual representations for systemic risk measures," Papers, arXiv.org, number 1607.03430, Jul, revised Jul 2019.
- Giovanni BARONE-ADESI, 2015, "VaR and CVaR Implied in Option Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-45, Oct.
- Eric JONDEAU & Qunzi ZHANG, 2014, "Asymmetric Beta Comovement and Systematic Downside Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-59, Nov.
- Paul Schneider, 2015, "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-61, Dec.
- Jean-Paul Decamps & Sebastian Gryglewicz & Erwan Morellec & Stephane Villeneuve, 2016, "Corporate Policies with Permanent and Transitory Shocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-18, Mar.
- Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015, "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-36, Sep.
- Mathieu CAMBOU & Damir FILIPOVIC, 2014, "Model Uncertainty and Scenario Aggregation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-38, May, revised Nov 2015.
- Paul SCHNEIDER, 2014, "Generalized Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-29, Jul.
- James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016, "The Economy-wide Impact of a Rise in Commercial Bank Capital Adequacy Ratios," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-261, May.
- Bell, Peter N, 2015, "Identifying the Median Path of a Stochastic Processes," MPRA Paper, University Library of Munich, Germany, number 72680, Nov.
- Maximilian ADELMANN & Lucio FERNANDEZ ARJONA & Janos MAYER & Karl SCHMEDDERS, 2016, "A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-04, Jan.
- Priyank Gandhi & Patrick Christian Kiefer & Alberto Plazzi, 2016, "A False Sense of Security: Why U.S. Banks Diversify and Does it Help?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-43, Jul.
- Gazi I. Kara, 2016, "Bank Capital Regulations Around the World : What Explains the Differences?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-057, Jul, DOI: 10.17016/FEDS.2016.057.
- Qunzhi Zhang & Didier Sornette & Mehmet Balcilar & Rangan Gupta & Zeynel Abidin Ozdemir & I. Hakan Yetkiner, 2016, "A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-05, Feb.
- Agata M. Lozinskaia & Evgeniy M. Ozhegov & Alexander M. Karminsky, 2016, "Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages," HSE Working papers, National Research University Higher School of Economics, number WP BRP 55/FE/2016.
- Jonathan Yu-Meng Li, 2016, "Inverse Optimization of Convex Risk Functions," Papers, arXiv.org, number 1607.07099, Jul, revised Jul 2022.
- Chang, C-L. & McAleer, M.J. & Wang, Y., 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-29, Jun.
- Pierre Matek & Marko Lukač & Vedrana Repač, 2015, "Performance appraisal of Croatian mandatory pension funds," Effectus - Working Paper Series, Effectus - University College for Law and Finance, number 0004, Feb.
- Elisa Fusco & Bernardo Maggi, 2016, "Bank Financial world crisis: Inefficiencies and Responsibilities," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2016/2, Jul.
- Santiago Moreno-BROMBERG & Guillaume ROGER, 2015, "Leverage and Risk Taking," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-64, Dec.
- Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016, "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-12, Feb.