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Report NEP-RMG-2016-11-06
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:
- Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016, "Risk control in asset management: Motives and concepts," CFS Working Paper Series, Center for Financial Studies (CFS), number 546.
- Wong, Woon K., 2016, "A GMM Skewness and Kurtosis Ratio Test for Higher Moment Dependence," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/8, Aug.
- William R. Cline, 2016, "Systemic Implications of Problems at a Major European Bank," Policy Briefs, Peterson Institute for International Economics, number PB16-19, Oct.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016, "Low risk anomalies?," CFS Working Paper Series, Center for Financial Studies (CFS), number 550.
- Thibaut Lux & Antonis Papapantoleon, 2016, "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers, arXiv.org, number 1610.09734, Oct, revised Nov 2018.
- Takuji Arai & Yuto Imai, 2016, "On the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models," Papers, arXiv.org, number 1610.09085, Oct.
- Ines Wilms & Jeroen Rombouts & Christophe Croux, 2016, "Lasso-based forecast combinations for forecasting realized variances," Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 553087, Oct.
- Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2016, "Managing Default Contagion in Inhomogeneous Financial Networks," Papers, arXiv.org, number 1610.09542, Oct, revised Jan 2021.
- Stijn Ferrari & Mara Pirovano & Pablo Rovira Kaltwasser, 2016, "The impact of sectoral macroprudential capital requirements on mortgage loan pricing: Evidence from the Belgian risk weight add-on," Working Paper Research, National Bank of Belgium, number 306, Oct.
- Simona Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2016, "Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations," Working Papers, University of Alberta, Department of Economics, number 2016-17, Nov.
- Moshe A. Milevsky & Thomas S. Salisbury, 2016, "Optimal retirement income tontines," Papers, arXiv.org, number 1610.10078, Oct.
- Simona Cociuba & Malik Shukayev & Alexander Ueberfeldt, 2016, "Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations," Staff Working Papers, Bank of Canada, number 16-47, DOI: 10.34989/swp-2017-47.
- Amrita Dhillon & Andrew Pickering & Tomas Sjöström, 2016, "Sovereign Debt - Election Concerns and the Democratic Disadvantage," Discussion Papers, Department of Economics, University of York, number 16/13, Nov.
- Dangl, Thomas & Zechner, Josef, 2016, "Debt maturity and the dynamics of leverage," CFS Working Paper Series, Center for Financial Studies (CFS), number 547.
- Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2016, "Putting the pension back in 401(k) plans: Optimal versus default longevity income annuities," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 150, DOI: 10.2139/ssrn.2853430.
- Britz, Wolfgang & Linda, Arata, 2016, "How Important Are Crop Shares In Managing Risk For Specialized Arable Farms? A Panel Estimation Of A Programming Model For Three European Regions," 56th Annual Conference, Bonn, Germany, September 28-30, 2016, German Association of Agricultural Economists (GEWISOLA), number 244801, Sep, DOI: 10.22004/ag.econ.244801.