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Report NEP-RMG-2017-01-29
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:
- Leonardo Gambacorta, 2016, "Leverage and Risk Weighted Capital Requirements," Working Papers, Banco de Portugal, Economics and Research Department, number w201616.
- Item repec:imf:imfscr:17/4 is not listed on IDEAS anymore
- David E. Allen & Michael McAleer & Abhay K. Singh, 2017, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-013/III, Jan.
- Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017, "The Value of Timing Risk," Papers, arXiv.org, number 1701.05695, Jan.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016, "Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-05, Dec.
- Andrzej Ruszczynski & Jianing Yao, 2017, "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers, arXiv.org, number 1701.06234, Jan, revised Aug 2020.
- Martin DUDLER & Bruno GMUER & Semyon MALAMUD, 2014, "Risk-Adjusted Time Series Momentum," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-71, Sep, revised Jan 2015.
- Peter Csoka & P. Jean-Jacques Herings, 2017, "An Axiomatization of the Proportional Rule in Financial Networks," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1701, Jan.
- Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2017, "Firm-Related Risk and Precautionary Saving Response," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1702, revised Jan 2017.
- Rub'en Loaiza-Maya & Michael S. Smith & Worapree Maneesoonthorn, 2017, "Time Series Copulas for Heteroskedastic Data," Papers, arXiv.org, number 1701.07152, Jan.
- Marian Gidea, 2017, "Topology data analysis of critical transitions in financial networks," Papers, arXiv.org, number 1701.06081, Jan.
- Amir T. Payandeh Najafabadi & Ali Panahi Bazaz, 2017, "An Optimal Multi-layer Reinsurance Policy under Conditional Tail Expectation," Papers, arXiv.org, number 1701.05447, Jan.