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Report NEP-RMG-2017-09-24
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:
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017, "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers, Toulouse School of Economics (TSE), number 17-841, Sep.
- Item repec:hal:journl:hal-01393953 is not listed on IDEAS anymore
- David Berger & Ian Dew-Becker & Stefano Giglio, 2017, "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 23796, Sep.
- Urtzi Ayesta & M Erausquin & E Ferreira & P Jacko, 2016, "Optimal Dynamic Resource Allocation to Prevent Defaults," Post-Print, HAL, number hal-01300681, Jul.
- Antoine Jacquier & Jorge A. León & Elisa Alòs, 2017, "The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature," Working Papers, Barcelona School of Economics, number 988, Sep.
- Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak Kwong Wong, 2017, "Optimal Liquidation Problems in a Randomly-Terminated Horizon," Papers, arXiv.org, number 1709.05837, Sep.
- Tom Roberts, 2017, "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers, Bank of Canada, number 17-38, DOI: 10.34989/swp-2017-38.
- Boon, Ling-Ni, 2017, "Stakeholders in pension finance," Other publications TiSEM, Tilburg University, School of Economics and Management, number c1bd136e-95e4-42a1-bdb4-8.
- Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017, "Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation," Papers, arXiv.org, number 1709.05527, Sep.
- David E. Allen & Michael McAleer, 2017, "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-22, Jul.
- Tröger, Tobias, 2017, "Too complex to work: A critical assessment of the bail-in tool under the European bank recovery and resolution regime," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 116.
- Weipin Wu & Jianjun Gao & Duan Li & Yun Shi, 2017, "Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise," Papers, arXiv.org, number 1709.05529, Sep.
- Hannes Mueller, 2017, "Reading Between the Lines: Prediction of Political Violence Using Newspaper Text," Working Papers, Barcelona School of Economics, number 990, Sep.
- Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017, "Semi-Static and Sparse Variance-Optimal Hedging," Papers, arXiv.org, number 1709.05519, Sep.
- Henselmann, Klaus & Haller, Stefanie, 2017, "Potentielle Risikofaktoren für die Erhöhung der Betriebsprüfungswahrscheinlichkeit - Eine analytische und empirische Untersuchung auf Basis der E-Bilanz-Taxonomie 6.0 -," Working Papers in Accounting Valuation Auditing, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing, number 2017-1.
- Koen W. de Bock, 2017, "The best of two worlds: Balancing model strength and comprehensibility in business failure prediction using spline-rule ensembles," Post-Print, HAL, number hal-01588059, DOI: 10.1016/j.eswa.2017.07.036.