Printed from https://ideas.repec.org/n/nep-rmg/2017-05-14.html
Report NEP-RMG-2017-05-14
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:
- Zi-Yi Guo, 2017, "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4507452, Apr.
- Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017, "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers, arXiv.org, number 1705.03787, May, revised May 2017.
- Jie Sun & Xinmin Yang & Qiang Yao & Min Zhang, 2017, "Risk Minimization, Regret Minimization and Progressive Hedging Algorithms," Papers, arXiv.org, number 1705.00340, Apr, revised Jun 2020.
- Oliver Linton & Jianbin Wu, 2017, "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP05/17, Jan.
- Item repec:idb:brikps:98078 is not listed on IDEAS anymore
- Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017, "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12009, Apr.
- Item repec:vie:viennp:1701 is not listed on IDEAS anymore
- Epper, Thomas & Fehr-Duda, Helga, 2017, "A Tale of Two Tails: On the Coexistence of Overweighting and Underweighting of Rare Extreme Events," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1705, Apr.
- Nobuyoshi Yamori & Yoshihiro Asai, 2017, "Great East Japan Earthquake and Risk Management for Small and Medium-Sized Enterprises ―How Do Japanese SMEs Prepare against Natural Disasters?－," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2017-14, May.
- Bruno, Brunella & Nocera, Giacomo & Resti, Andrea, 2017, "Are risk-based capital requirements detrimental to corporate lending? Evidence from Europe," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12007, Apr.
- Sonia Quiroga & Emilio Cerdá, 2017, "Exploring farmers? selection of crop protection levels as an adaptation strategy to climate risks," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4507414, Apr.
- Luigi Troiano & Elena Mejuto Villa & Pravesh Kriplani, 2017, "An Alternative Estimation of Market Volatility based on Fuzzy Transform," Papers, arXiv.org, number 1705.01348, May.
- Buch, Claudia M. & Krause, Thomas & Tonzer, Lena, 2017, "Drivers of systemic risk: Do national and European perspectives differ?," Discussion Papers, Deutsche Bundesbank, number 09/2017.
- Jun Sakamoto, 2017, "An empirical study on the risk premium caused by differences in the dispersion of information among investors," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 17-11, Apr.
- Duprey, Thibaut & Klaus, Benjamin, 2017, "How to predict financial stress? An assessment of Markov switching models," Working Paper Series, European Central Bank, number 2057, May.
- Item repec:idb:brikps:97976 is not listed on IDEAS anymore
- Sergio Mayordomo & Antonio Moreno & Steven Ongena & María Rodríguez-Moreno, 2017, ""Keeping it personal" or "getting real"? On the drivers and effectiveness of personal versus real loan guarantees," Working Papers, Banco de España, number 1715, May.
- Peter Carr & Roger Lee & Matthew Lorig, 2017, "Pricing Variance Swaps on Time-Changed Markov Processes," Papers, arXiv.org, number 1705.01069, May, revised Nov 2019.
- Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017, "The implied volatility of forward starting options: ATM short-time level, skew and curvature," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1568, May.
- Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer, 2017, "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Papers, arXiv.org, number 1705.03423, May, revised Aug 2018.
- Stavros Stavroyiannis, 2017, "A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?," Papers, arXiv.org, number 1705.00535, May.
- Bora Durdu & Rochelle M. Edge & Daniel Schwindt, 2017, "Measuring the Severity of Stress-Test Scenarios," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2017-05-05, May, DOI: 10.17016/2380-7172.1970.
- Paul Calem & Ricardo Correa & Seung Jung Lee, 2017, "Prudential policies and their impact on credit in the United States," BIS Working Papers, Bank for International Settlements, number 635, May.
- Rangan Gupta & Christos Kollias & Stephanos Papadamou & Mark E. Wohar, 2017, "News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets," Working Papers, University of Pretoria, Department of Economics, number 201730, Apr.
- Hill, Ruth Vargas & Kumar, Neha & Magnan, Nicholas & Makhija, Simrin & de Nicola, Francesca & Spielman, David J. & Ward, Patrick S., 2017, "Insuring against droughts: Evidence on agricultural intensification and index insurance demand from a randomized evaluation in rural Bangladesh," IFPRI discussion papers, International Food Policy Research Institute (IFPRI), number 1630.