Report NEP-RMG-2018-01-22

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:

• Sebastian Bayer & Timo Dimitriadis, 2018, "Regression Based Expected Shortfall Backtesting," Papers, arXiv.org, number 1801.04112, Jan, revised Sep 2019.
• Tarek A. Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2017, "Firm-Level Political Risk: Measurement and Effects," NBER Working Papers, National Bureau of Economic Research, Inc, number 24029, Nov.
• Kalin Nikolov & Javier Suarez & Dominik Supera & Caterina Mendicino, 2017, "Optimal Dynamic Capital Requirements," 2017 Meeting Papers, Society for Economic Dynamics, number 1216.
• Ralph Koijen & Motohiro Yogo, 2018, "The Fragility of Market Risk Insurance," NBER Working Papers, National Bureau of Economic Research, Inc, number 24182, Jan.
• Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print, HAL, number hal-01633544, Oct, DOI: 10.1017/S0022109017000692.
• Danilo Delpini & Stefano Battiston & Guido Caldarelli & Massimo Riccaboni, 2018, "The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis," Papers, arXiv.org, number 1801.02205, Jan.
• Jonas Crevecoeur & Katrien Antonio & Roel Verbelen, 2018, "Modeling the number of hidden events subject to observation delay," Papers, arXiv.org, number 1801.02935, Jan, revised Mar 2019.
• Leo Kaas & Wei Cui, 2017, "Default Cycles," 2017 Meeting Papers, Society for Economic Dynamics, number 1288.
• Rickard Nyman & Sujit Kapadia & David Tuckett & David Gregory & Paul Ormerod & Robert Smith, 2018, "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers, Bank of England, number 704, Jan.
• Takashi Kato, 2017, "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers, arXiv.org, number 1711.07335, Nov.
• Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2020, "Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches," Working Papers, HAL, number hal-01664146, Jul.
• Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2019, "Rational expectations and stochastic systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01673338, Oct.
• Dertwinkel-Kalt, Markus & Wenzel, Tobias, 2017, "Focusing and framing of risky alternatives," DICE Discussion Papers, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE), number 279.
• Zura Kakushadze & Willie Yu, 2017, "Notes on Fano Ratio and Portfolio Optimization," Papers, arXiv.org, number 1711.10640, Nov, revised Apr 2018.
• Fan, Minyou & Li, Youwei & Liu, Jiadong, 2017, "Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches," MPRA Paper, University Library of Munich, Germany, number 83510, Dec.
• Maissa Tamraz & Yaming Yang, 2017, "Price Optimisation for New Business," Papers, arXiv.org, number 1711.07753, Nov.
• Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2018, "Asymptotic Static Hedge via Symmetrization," Papers, arXiv.org, number 1801.04045, Jan.
• Galina Hale & Jose A. Lopez, 2018, "Monitoring Banking System Connectedness with Big Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2018-01, Apr, DOI: 10.24148/wp2018-01.
• Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017, "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-121, Dec, DOI: 10.17016/FEDS.2017.121.
• Harashima, Taiji, 2018, "Bubbles and Bluffs: Risk Lovers Can Survive Economically," MPRA Paper, University Library of Munich, Germany, number 83615, Jan.
• Pástor, LuboÅ¡ & Stambaugh, Robert F. & Taylor, Lucian, 2017, "Fund Tradeoffs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12513, Dec.
• Item repec:imf:imfwpa:17/269 is not listed on IDEAS anymore

• Tan, Zekuang, 2017, "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper, University Library of Munich, Germany, number 83669, Dec.
• Kirschenmann, Karolin & Korte, Josef & Steffen, Sascha, 2017, "The zero risk fallacy? Banks' sovereign exposure and sovereign risk spillovers," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 17-069.
• Vadim Kaushansky & Alexander Lipton & Christoph Reisinger, 2017, "Transition probability of Brownian motion in the octant and its application to default modeling," Papers, arXiv.org, number 1801.00362, Dec, revised May 2018.

Report NEP-RMG-2018-01-22

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: