Printed from https://ideas.repec.org/n/nep-rmg/2016-09-25.html
Report NEP-RMG-2016-09-25
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:
- Huang, Jing-Zhi & Shi, Zhan, 2016, "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-04, Feb.
- Michael Crowther & Paul Lambert, 2016, "Multistate survival analysis in Stata," United Kingdom Stata Users' Group Meetings 2016, Stata Users Group, number 02, Sep.
- Takashi Shinzato, 2016, "Replica Analysis for the Duality of the Portfolio Optimization Problem," Papers, arXiv.org, number 1609.05475, Sep.
- Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016, "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-2, Jan.
- Krahnen, Jan Pieter & Pelizzon, Loriana, 2016, ""Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 41.
- Dominique Guegan & Bertrand Hassani, 2016, "More Accurate Measurement for Enhanced Controls: VaR vs ES?," Post-Print, HAL, number halshs-01281940, Feb.
- Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 376, Sep.
- Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 375, Sep.
- Pan, Yihui & Wang, Tracy Yue & Weisbach, Michael S., 2016, "How Management Risk Affects Corporate Debt," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-06, May.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2016-10, Sep.
- Item repec:hal:journl:hal-01364437 is not listed on IDEAS anymore
- Minton, Bernadette A. & Schrand, Catherine M., 2016, "Institutional Investments in Pure Play Stocks and Implications for Hedging Decisions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-3, Jan.
- Schuermann, Til, 2016, "Stress Testing in Wartime and in Peacetime," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 16-01, Mar.
- Aranburu Laka, Larraitz & Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2016, "Risk management for mathematical optimization under uncertainty," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
- Zeineb Affes & Rania Hentati-Kaffel, 2016, "Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis," Post-Print, HAL, number halshs-01281948, Feb.
- Item repec:qut:qubewp:wp045 is not listed on IDEAS anymore
- Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei, 2014, "The Elephant in the Room: The Impact of Labor Obligations on Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-17, Dec.
- Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2016, "Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201668, Sep.
- Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015, "Prices and Volatilities in the Corporate Bond Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-18, Aug.
- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
- Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-13, Jul.