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Report NEP-RMG-2016-08-21
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:
- Dobrislav Dobrev & Travis D. Nesmith & Dong Hwan Oh, 2016, "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-065, DOI: 10.17016/FEDS.2016.065r1.
- Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016, "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1019, Aug.
- Korn, Olaf & Merz, Alexander, 2016, "How to hedge if the payment date is uncertain?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-14 [rev.].
- Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.
- Gilles Boevi Koumou, 2016, "Risk reduction and Diversification within Markowitz's Mean-Variance Model: Theoretical Revisit," Papers, arXiv.org, number 1608.05024, Aug, revised Aug 2016.
- Weinert, Jan-Hendrik & Gründl, Helmut, 2016, "The modern tontine: An innovative instrument for longevity risk management in an aging society," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 22/16.
- Kelly, Robert & O'Toole, Conor, 2016, "Lending Conditions and Loan Default: What Can We Learn From UK Buy-to-Let Loans?," Research Technical Papers, Central Bank of Ireland, number 04/RT/16, Jun.
- Tobias Adrian & Daniel Stackman & Erik Vogt, 2016, "Global price of risk and stabilization policies," Staff Reports, Federal Reserve Bank of New York, number 786, Aug.
- Fieker, Michael, 2016, "Ausgewählte Anforderungen an die Gesamtbanksteuerung deutscher Kreditinstitute im Zuge der Einführung von Basel III: Unter besonderer Betrachtung der Anrechenbarkeit stiller Einlagen und stiller Reserven als Eigenmittel," Wirtschaftswissenschaftliche Schriften, Ernst-Abbe-Hochschule Jena – University of Applied Sciences, Department of Business Administration, number 01/2016.
- Schuknecht, Ludger, 2016, "The supply of 'safe' assets and fiscal policy," CFS Working Paper Series, Center for Financial Studies (CFS), number 532.
- Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2016, "Why does idiosyncratic risk increase with market risk?," CFS Working Paper Series, Center for Financial Studies (CFS), number 533.