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Report NEP-RMG-2017-08-27
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:
- Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017, "Portfolio Optimization with Entropic Value-at-Risk," Papers, arXiv.org, number 1708.05713, Aug.
- Guo, Zi-Yi, 2017, "Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 167619.
- Michael A. Kouritzin & Anne MacKay, 2017, "VIX-linked fees for GMWBs via Explicit Solution Simulation Methods," Papers, arXiv.org, number 1708.06886, Aug, revised Apr 2018.
- Ferrari, Stijn & Pirovano, Mara & Rovira Kaltwasser, Pablo, 2017, "The impact of sectoral macroprudential capital requirements on mortgage lending: evidence from the Belgian risk weight add-on," MPRA Paper, University Library of Munich, Germany, number 80821, Aug.
- Celso Brunetti & Agostino Capponi & Christoph Frei, 2017, "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-083, Aug, DOI: 10.17016/FEDS.2017.083r1.
- Item repec:rza:wpaper:695 is not listed on IDEAS anymore
- Edimilson Costa Lucas & Wesley Mendes Da Silva & Gustavo Silva Araujo, 2017, "Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?," Working Papers Series, Central Bank of Brazil, Research Department, number 462, Aug.
- Gollier, Christian, 2017, "Variance stochastic orders," TSE Working Papers, Toulouse School of Economics (TSE), number 17-828, Jul.
- Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017, "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers, University of Pretoria, Department of Economics, number 201759, Aug.
- Guo, Zi-Yi, 2017, "Empirical Performance of GARCH Models with Heavy-tailed Innovations," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 167626.
- Belinda Tracey & Christian Schnittker & Rhiannon Sowerbutts, 2017, "Bank capital and risk-taking: evidence from misconduct provisions," Bank of England working papers, Bank of England, number 671, Aug.
- Xiong, Wanting & Wang, Yougui, 2017, "The impact of Basel III on money creation: A synthetic analysis," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-53.
- Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou, 2017, "A new Mertens decomposition of $\mathscr{Y}^{g,\xi}$-submartingale systems. Application to BSDEs with weak constraints at stopping times," Papers, arXiv.org, number 1708.05957, Aug, revised May 2023.
- Khalifa Mohammed Ali, 2017, "Competitiveness and Economic Integration in IDB Member Countries," Working Papers, The Islamic Research and Teaching Institute (IRTI), number 2017-1, Feb.