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Report NEP-RMG-2017-03-19
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:
- Saul Jacka & Seb Armstrong & Abdelkarem Berkaoui, 2017, "On representing and hedging claims for coherent risk measures," Papers, arXiv.org, number 1703.03638, Mar, revised Feb 2018.
- M. Andrecut, 2017, "Systemic Risk, Maximum Entropy and Interbank Contagion," Papers, arXiv.org, number 1703.04549, Mar.
- Hatem Salah & Marwa Souissi, 2016, "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers, Economic Research Forum, number 985, Apr, revised Apr 2016.
- Felix-Benedikt Liebrich & Gregor Svindland, 2017, "Model Spaces for Risk Measures," Papers, arXiv.org, number 1703.01137, Mar, revised Nov 2017.
- Marian Gidea & Yuri Katz, 2017, "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers, arXiv.org, number 1703.04385, Mar, revised Apr 2017.
- Item repec:imf:imfwpa:17/22 is not listed on IDEAS anymore
- Item repec:imf:imfwpa:17/16 is not listed on IDEAS anymore
- Omar El Euch & Mathieu Rosenbaum, 2017, "Perfect hedging in rough Heston models," Papers, arXiv.org, number 1703.05049, Mar.
- Marco Frittelli & Marco Maggis, 2017, "Disentangling Price, Risk and Model Risk: V&R measures," Papers, arXiv.org, number 1703.01329, Mar, revised Jul 2017.
- Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017, "Data driven partition-of-unity copulas with applications to risk management," Papers, arXiv.org, number 1703.05047, Mar, revised Nov 2020.
- Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017, "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-04, Feb.
- Guo, Xu & Wagener, Andreas & Wong, Wing-Keung & Zhu, Lixing, 2017, "The Two-Moment Decision Model with Additive Risks," MPRA Paper, University Library of Munich, Germany, number 77625, Mar.
- Danping Li & Dongchen Li & Virginia R. Young, 2017, "Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion," Papers, arXiv.org, number 1703.01984, Mar, revised Mar 2017.
- Elyas Elyasiani & Jason Keegan, 2017, "Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks," Working Papers, Federal Reserve Bank of Philadelphia, number 17-5, Mar.
- Item repec:imf:imfwpa:17/24 is not listed on IDEAS anymore
- Item repec:imf:imfwpa:17/13 is not listed on IDEAS anymore