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Report NEP-RMG-2017-04-16
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:
- Brownlees, Christian & Engle, Robert F., 2017, "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series, European Systemic Risk Board, number 37, Mar.
- Raquel M. Gaspar, 2016, "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016, EcoMod, number 9381, Jul.
- Camilla Ferretti & Giampaolo Gabbi & Piero Ganugi & Pietro Vozzella, 2016, "Rating Trajectories and Credit Risk Migration: Evidence for SMEs," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number dises1615, Jul.
- Sergey Kamenshchikov & Ilia Drozdov, 2017, "Biased Risk Parity with Fractal Model of Risk," Papers, arXiv.org, number 1703.09667, Mar, revised Apr 2017.
- Stéphane Crépey & Shiqi Song, 2017, "Invariance properties in the dynamic gaussian copula model ," Working Papers, HAL, number hal-01455424, Feb.
- Stephen Morris & Hyun Song Shin, 2016, "Illiquidity Component of Credit Risk," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 081_2016, May.
- Asai, M. & Chang, C-L. & McAleer, M.J., 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-41, Sep.
- Tenani, Paulo Sérgio, 2017, "Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 438.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2017, "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Papers, arXiv.org, number 1704.00416, Apr, revised Jun 2019.
- Andreas Frohlich & Annegret Weng, 2017, "Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks," Papers, arXiv.org, number 1704.01608, Apr.
- Renaud Coulomb & Yanos Zylberberg, 2016, "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series, The University of Melbourne, number 2020, Mar.
- Pierre Picard, 2017, "Splitting Risks in Insurance Markets With Adverse Selection," Working Papers, HAL, number hal-01448322, Aug.
- Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017, "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201725, Apr.
- José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017, "Volatility risk premia and future commodities returns," BIS Working Papers, Bank for International Settlements, number 619, Mar.
- Sylvain Chassang, 2016, "Mostly Prior-Free Asset Allocation," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 077_2016, Jan.
- Hao Chen & Hua Liao & Bao-Jun Tang & Yi-Ming Wei, 2016, "Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models," CEEP-BIT Working Papers, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology, number 96, Oct.
- Jie Sun & Qiang Yao, 2017, "On coherency and other properties of MAXVAR," Papers, arXiv.org, number 1703.10981, Mar, revised Sep 2017.
- Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-45, Dec.