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Report NEP-RMG-2018-01-01
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:
- Mateusz Buczyński & Marcin Chlebus, 2017, "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and the historical simulation models ," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2017-29.
- Leopoldo Catania & Stefano Grassi, 2017, "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper, Tor Vergata University, CEIS, number 417, Dec, revised 11 Dec 2017.
- Item repec:dnb:dnbwpp:581 is not listed on IDEAS anymore
- Louis R. Eeckhoudt & Roger J. A. Laeven & Harris Schlesinger, 2017, "Risk Apportionment: The Dual Story," Papers, arXiv.org, number 1712.02182, Dec.
- Item repec:imf:imfscr:17/344 is not listed on IDEAS anymore
- Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017, "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers, arXiv.org, number 1712.08247, Dec.