Printed from https://ideas.repec.org/n/nep-rmg/2017-08-06.html
Report NEP-RMG-2017-08-06
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:
- Ghysels, Eric & Chabot, Benjamin & Kurz, Christopher & Brownlees, Christian, 2017, "Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12178, Jul.
- Stefano Ciliberti & Emmanuel S'eri'e & Guillaume Simon & Yves Lemp'eri`ere & Jean-Philippe Bouchaud, 2017, "The "Size Premium" in Equity Markets: Where is the Risk?," Papers, arXiv.org, number 1708.00644, Aug, revised Aug 2017.
- Chong, Terence Tai Leung & Ding, Yue & Pang, Tianxiao, 2017, "Extreme Risk Value and Dependence Structure of the China Securities Index 300," MPRA Paper, University Library of Munich, Germany, number 80556, Mar.
- Thomas Schurmann & Ingo Hoffmann, 2017, "On Biased Correlation Estimation," Papers, arXiv.org, number 1707.09037, Jul.
- E. Panetti & LG Deidda, 2017, "Banks' Liquidity Management and Systemic Risk," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201705.
- Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager & Etti Baranoff, 2017, "A ternary-state early warning system for the European Union," Working Papers, Bank of Greece, number 222, Apr.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017, "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper, University Library of Munich, Germany, number 80435.
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2017, "On a robust risk measurement approach for capital determination errors minimization," Papers, arXiv.org, number 1707.09829, Jul, revised Oct 2020.
- Volodymyr Perederiy, 2017, "Sparse Structural Approach for Rating Transitions," Papers, arXiv.org, number 1708.00062, Jul, revised Jan 2022.
- David Allen & Michael McAleer, 2017, "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-069/III, Jul.
- Fernández-Villaverde, Jesús & Drautzburg, Thorsten & Guerron-Quintana, Pablo A., 2017, "Political Distribution Risk and Aggregate Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12187, Jul.
- Item repec:dnb:dnbocs:1503 is not listed on IDEAS anymore
- Ghysels, Eric & Liu, Hanwei, 2017, "Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12180, Jul.