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Report NEP-RMG-2016-08-14
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:
- Andrew Lesniewski & Anja Richter, 2016, "Managing counterparty credit risk via BSDEs," Papers, arXiv.org, number 1608.03237, Aug, revised Aug 2016.
- Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99R, Jan, revised Aug 2016.
- Kit Baum & Soner Tunay & Alper Corlu, 2016, "Modeling Rating Transition Matrices for Wholesale Loan Portfolios," 2016 Stata Conference, Stata Users Group, number 17, Aug.
- Li-Ling Su & Xiong-Fei Jiang & Sai-Ping Li & Li-Xin Zhong & Fei Ren, 2016, "Dynamic structure of stock communities: A comparative study between stock returns and turnover rates," Papers, arXiv.org, number 1608.03053, Aug.
- Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016, "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers, arXiv.org, number 1608.02365, Aug.
- Tatyana Kovalenko & Didier Sornette, 2016, "Risk and Resilience Management in Social-Economic Systems," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-30, May.
- Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22492, Aug.
- Theodore Karrison, 2016, "Versatile tests for comparing survival curves based on weighted logrank statistics," 2016 Stata Conference, Stata Users Group, number 20, Aug.
- Rhys Bidder & Ian Dew-Becker, 2016, "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers, National Bureau of Economic Research, Inc, number 22416, Jul.
- Fuad Aleskerov & Natalia Meshcheryakova & Alisa Nikitina & Sergey Shvydun, 2016, "Key Borrowers Detection by Long-Range Interactions," HSE Working papers, National Research University Higher School of Economics, number WP BRP 56/FE/2016.
- Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu, 2016, "Dynamic portfolio strategy using clustering approach," Papers, arXiv.org, number 1608.03058, Aug.
- Steven A. Sass, 2016, "How Can We Realize the Value That Annuities Offer in a 401(k) World?," Issues in Brief, Center for Retirement Research, number ib2016-12, Jul.
- Baker, Erin & Bosetti, Valentina & Salo, Ahti, , "Finding Common Ground when Experts Disagree: Belief Dominance over Portfolios of Alternatives," MITP: Mitigation, Innovation and Transformation Pathways, Fondazione Eni Enrico Mattei (FEEM), number 243147, DOI: 10.22004/ag.econ.243147.
- Mark Rosenzweig & Christopher Udry, 2016, "External Validity in a Stochastic World," NBER Working Papers, National Bureau of Economic Research, Inc, number 22449, Jul.
- Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016, "Who would invest only in the risk-free asset?," Papers, arXiv.org, number 1608.02446, Aug.