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Report NEP-RMG-2017-07-16
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:
- Chao Wang & Qian Chen & Richard Gerlach, 2017, "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers, arXiv.org, number 1707.03715, Jul.
- Graeme Douglas & Joseph Noss & Nicholas Vause, 2017, "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers, Bank of England, number 664, Jul.
- Mikhail Semenov & Daulet Smagulov, 2017, "Portfolio Risk Assessment using Copula Models," Papers, arXiv.org, number 1707.03516, Jul.
- Xisong Jin & Francisco Nadal De Simone, 2017, "Systemic Financial Sector and Sovereign Risks," BCL working papers, Central Bank of Luxembourg, number 109, Jun.
- Ian W. Jones & Michael G. Pollitt, 2016, "How UK Banks are Changing Their Corporate Culture & Practice Following the Financial Crisis of 2007-08," Working Papers, Centre for Business Research, University of Cambridge, number wp482, Sep.
- Diana A. Iercosan & Ashish Kumbhat & Michael Ng & Jason J. Wu, 2017, "Trading Activities at Systemically Important Banks, Part 2 : What Happened during Recent Risk Events?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2017-07-10-2, Jul, DOI: 10.17016/2380-7172.2024.
- Aditya Maheshwari & Andrey Sarantsev, 2017, "Modeling Financial System with Interbank Flows, Borrowing, and Investing," Papers, arXiv.org, number 1707.03542, Jul, revised Oct 2018.
- Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017, "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers, University of Pretoria, Department of Economics, number 201752, Jul.
- Oleg L. Kritski & Vladimir F. Zalmezh, 2017, "Asymptotics for Greeks under the constant elasticity of variance model," Papers, arXiv.org, number 1707.04149, Jun, revised Jul 2017.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2017, "Decumulation, Sequencing Risk and the Safe Withdrawal Rate: Why the 4% Withdrawal Rule leaves Money on the Table," Discussion Papers, Department of Economics, University of York, number 17/06, Jul.
- Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson, 2017, "Dynamic Quantile Function Models," Papers, arXiv.org, number 1707.02587, Jul, revised May 2021.
- Stoforos, Chrysostomos & Degiannakis, Stavros & Palaskas, Theodosios, 2016, "Hedge Fund Returns under Crisis Scenarios: A Holistic Approach," MPRA Paper, University Library of Munich, Germany, number 80161, Oct.
- Degiannakis, Stavros, 2016, "The one-trading-day-ahead forecast errors of intra-day realized volatility," MPRA Paper, University Library of Munich, Germany, number 80163, Jan.
- Massimo Caccia & Bruno R'emillard, 2017, "Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model," Papers, arXiv.org, number 1707.02019, Jul.