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Report NEP-RMG-2017-02-12
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:
- Item repec:hum:wpaper:sfb649dp2017-004 is not listed on IDEAS anymore
- Viktor Witkovsky & Gejza Wimmer & Tomas Duby, 2017, "Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity," Papers, arXiv.org, number 1701.08299, Jan.
- Shaw, Frances & Dunne, Peter G., 2017, "Investment Fund Risk: The Tale in the Tails," Research Technical Papers, Central Bank of Ireland, number 01/RT/17, Jan.
- Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-62, Nov.
- Fernando Cerezetti & Anannit Sumawong & Emmanouil Karimalis & Ujwal Shreyas, 2017, "Market liquidity, closeout procedures and initial margin for CCPs," Bank of England working papers, Bank of England, number 643, Feb.
- Regmund, Wes & Robinson, John & Anderson, David, 2017, "Higher and More Stable Returns From Cottonseed," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama, Southern Agricultural Economics Association, number 252813, Jan, DOI: 10.22004/ag.econ.252813.
- Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017, "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers, arXiv.org, number 1702.01936, Feb, revised Dec 2017.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017, "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 17008, Jan.
- Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012, "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-45, Dec.
- Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-53, Dec.
- Damien Ackerer & Thibault Vatter, 2016, "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-59, Oct.
- Guiso, Luigi & Pistaferri, Luigi & Fagereng, Andreas, 2017, "Firm-Related Risk and Precautionary Saving Response," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11809, Jan.
- Item repec:rnp:ppaper:ch1640 is not listed on IDEAS anymore
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012, "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-31, Sep.
- Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017, "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201702, Feb, revised Feb 2017.