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