Report NEP-RMG-2017-04-16This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
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 37, European Systemic Risk Board.
- Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
- 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 dises1615, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Sergey Kamenshchikov & Ilia Drozdov, 2017. "Biased Risk Parity with Fractal Model of Risk," Papers 1703.09667, arXiv.org, revised Apr 2017.
- Stéphane Crépey & Shiqi Song, 2017. "Invariance properties in the dynamic gaussian copula model ," Working Papers hal-01455424, HAL.
- Stephen Morris & Hyun Song Shin, 2016. "Illiquidity Component of Credit Risk," Working Papers 081_2016, Princeton University, Department of Economics, Econometric Research Program..
- Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Tenani, Paulo Sérgio, 2017. "Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay," Textos para discussão 438, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- 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 1704.00416, arXiv.org, revised Jun 2019.
- Andreas Frohlich & Annegret Weng, 2017. "Parameter uncertainty for integrated risk capital calculations based on normally distributed subrisks," Papers 1704.01608, arXiv.org.
- Renaud Coulomb & Yanos Zylberberg, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2020, The University of Melbourne.
- Pierre Picard, 2017. "Splitting Risks in Insurance Markets With Adverse Selection," Working Papers hal-01448322, HAL.
- 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 201725, University of Pretoria, Department of Economics.
- José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.
- Sylvain Chassang, 2016. "Mostly Prior-Free Asset Allocation," Working Papers 077_2016, Princeton University, Department of Economics, Econometric Research Program..
- 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 96, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
- Jie Sun & Qiang Yao, 2017. "On coherency and other properties of MAXVAR," Papers 1703.10981, arXiv.org, 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 EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.