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. Stan Miles issued this report. It is usually issued weekly.

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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 82000, University Library of Munich, Germany.
• Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part I: theory and various models," Papers 1710.04579, arXiv.org.
• Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part II: drawdown risk measures," Papers 1710.04818, arXiv.org.
• Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
• Chris Kenyon & Mourad Berrahoui & Benjamin Poncet, 2017. "Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL," Papers 1710.03161, arXiv.org, 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 168172, Verein für Socialpolitik / German Economic Association.
• Amanda Michaud & David Wiczer, 2017. "Occupational Hazards and Social Disability Insurance," Department of Economics Working Papers 17-11, Stony Brook University, Department of Economics.
• 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 168189, Verein für Socialpolitik / German Economic Association.