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Report NEP-RMG-2016-08-28
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:
- Natalia Nolde & Johanna F. Ziegel, 2016, "Elicitability and backtesting: Perspectives for banking regulation," Papers, arXiv.org, number 1608.05498, Aug, revised Feb 2017.
- Behn, Markus & Haselmann, Rainer & Vig, Vikrant, 2016, "The limits of model-based regulation," Working Paper Series, European Central Bank, number 1928, Jul.
- Ben Ammar, Semir, 2016, "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance, University of St. Gallen, School of Finance, number 1617, Jul.
- Molitor, Philippe & Doyle, Nicola & Hermans, Lieven & Weistroffer, Christian, 2016, "Shadow banking in the euro area: risks and vulnerabilities in the investment fund sector," Occasional Paper Series, European Central Bank, number 174, Jun.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2016, "Unit-linked life insurance policies: optimal hedging in partially observable market models," Papers, arXiv.org, number 1608.07226, Aug, revised Dec 2016.
- Matt Davison & Darrell Leadbetter & Bin Lu & Jane Voll, 2016, "Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?," Staff Working Papers, Bank of Canada, number 16-39, DOI: 10.34989/swp-2017-39.
- Antoine Jacquier & Fangwei Shi, 2016, "The randomised Heston model," Papers, arXiv.org, number 1608.07158, Aug, revised Dec 2018.
- Heralda, Jahollari, 2016, "Insurance and reinsurance risk management in Albania," MPRA Paper, University Library of Munich, Germany, number 73145, Feb.
- Heejoon Han, 2016, "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers, arXiv.org, number 1608.07193, Aug.
- García, Juan Angel & Werner, Sebastian E. V., 2016, "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series, European Central Bank, number 1938, Jul.