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Report NEP-RMG-2017-10-22
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:
- Hou, Yang & Holmes, Mark, 2017, "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper, University Library of Munich, Germany, number 82000, Oct.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2017, "A General Framework for Portfolio Theory. Part I: theory and various models," Papers, arXiv.org, number 1710.04579, Oct.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2017, "A General Framework for Portfolio Theory. Part II: drawdown risk measures," Papers, arXiv.org, number 1710.04818, Oct.
- Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017, "Large deviations for risk measures in finite mixture models," Papers, arXiv.org, number 1710.03252, Oct, revised Feb 2018.
- Chris Kenyon & Mourad Berrahoui & Benjamin Poncet, 2017, "Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL," Papers, arXiv.org, number 1710.03161, Oct, revised Nov 2018.
- Sterzel, André & Neyer, Ulrike, 2017, "Capital Requirements for Government Bonds - Implications for Financial Stability," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168172.
- Amanda Michaud & David Wiczer, 2017, "Occupational Hazards and Social Disability Insurance," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 17-11.
- Bommier, Antoine & Harenberg, Daniel & Le Grand, François, 2017, "Household Finance and the Value of Life," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168189.