Report NEP-RMG-2018-02-12

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:

• Ricardo Antunes & Daniel Birchal & Jo~ao M'arcio Abijaodi & Paulo Abreu & Rog'erio Peixoto, 2018. "Modelo de maturidade em gerenciamento de riscos em projetos (Project Risk Management Model Maturity)," Papers 1801.06595, arXiv.org.
• Seho, Mirzet & Alaaabed, Alaa & Masih, Mansur, 2016. "Risk-Sharing Financing of Islamic Banks: Better Shielded Against Interest Rate Risk?," MPRA Paper 82558, University Library of Munich, Germany.
• Héctor Pérez Saiz & Blair Williams & Gabriel Xerri, 2018. "Tail Risk in a Retail Payment System: An Extreme-Value Approach," Discussion Papers 18-2, Bank of Canada.
• Hosung Jung, 2017. "An Empirical Analysis of Mortgage Loan Delinquency Using Personal Panel Data in Korea (in Korean)," Working Papers 2017-6, Economic Research Institute, Bank of Korea.
• Fabio Baione & Paolo De Angelis & Ivan Granito, 2018. "On a capital allocation principle coherent with the Solvency 2 standard formula," Papers 1801.09004, arXiv.org.
• Anne Corcos & François Pannequin & Claude Montmarquette,, 2017. "Measuring individual risk-attitudes: an experimental comparison between Holt & Laury measure and an insurance-choices-based procedure," Working Papers 2017-79, Center for Research in Economics and Statistics.
• Zailei Cheng & Youngsoo Seol, 2018. "Gaussian Approximation of a Risk Model with Non-Stationary Hawkes Arrivals of Claims," Papers 1801.07595, arXiv.org, revised Aug 2019.
• Luting Li & Hao Xing, 2018. "Capital allocation under the Fundamental Review of Trading Book," Papers 1801.07358, arXiv.org, revised Jan 2019.
• Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
• Jean Baccelli, 2018. "Risk Attitudes in Axiomatic Decision Theory: a Conceptual Perspective," Post-Print hal-01620886, HAL.
• Lucchetta, Marcella & Moretto, Michele & Parigi, Bruno M., 2018. "Systematic risk, bank moral hazard, and bailouts," Research Discussion Papers 2/2018, Bank of Finland.
• Yasuhiro Sakai, 2018. "On the Economics of Risk and Uncertainty: A Historical Perspective," Discussion Papers CRR Discussion Paper Series A: General 28, Shiga University, Faculty of Economics,Center for Risk Research.