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Report NEP-RMG-2018-02-19
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:
- Caroline Hillairet & Ying Jiao, 2017, "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers, Center for Research in Economics and Statistics, number 2017-75, Jul.
- Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017, "Shapes of implied volatility with positive mass at zero," Working Papers, Center for Research in Economics and Statistics, number 2017-77, Oct.
- Anton Pichler & Sebastian Poledna & Stefan Thurner, 2018, "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," Papers, arXiv.org, number 1801.10515, Jan, revised Mar 2018.
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 24213, Jan.
- Sebastian Poledna & Abraham Hinteregger & Stefan Thurner, 2018, "Identifying systemically important companies in the entire liability network of a small open economy," Papers, arXiv.org, number 1801.10487, Jan.
- Sebastian Poledna & Seraf'in Mart'inez-Jaramillo & Fabio Caccioli & Stefan Thurner, 2018, "Quantification of systemic risk from overlapping portfolios in the financial system," Papers, arXiv.org, number 1802.00311, Jan.
- Eduardo Abi Jaber & Omar El Euch, 2018, "Multi-factor approximation of rough volatility models," Papers, arXiv.org, number 1801.10359, Jan, revised Apr 2018.
- Zheng Michael Song & Wei Xiong, 2018, "Risks in China’s Financial System," NBER Working Papers, National Bureau of Economic Research, Inc, number 24230, Jan.
- Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 83893, Jan.
- Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2018, "Investor Sentiment and Crash Risk in Safe Havens," Working Papers, University of Pretoria, Department of Economics, number 201804, Jan.
- François Pannequin & Anne Corcos, 2017, "Compulsory insurance and voluntary self-insurance: substitutes or complements? A matter of risk attitudes," Working Papers, Center for Research in Economics and Statistics, number 2017-78, Aug.
- Vicente González-Prida & Jayakumar Shambhu & Antonio Jesus Guillen & Joel Adams & François Pérès & Khairy Kobbacy, 2016, "An approach to risk quantification based on pseudo-random failure rates," Post-Print, HAL, number hal-01635619, DOI: 10.1016/j.ifacol.2016.11.031.
- Dario Caldara & Matteo Iacoviello, 2018, "Measuring Geopolitical Risk," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1222r1, Feb, revised 23 Mar 2022, DOI: 10.17016/IFDP.2018.1222r1.
- Igor Rivin, 2018, "What is the Sharpe Ratio, and how can everyone get it wrong?," Papers, arXiv.org, number 1802.04413, Feb.
- Alexandre Brouste & Christophe Dutang, 2016, "Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving," Post-Print, HAL, number hal-01616192, Jan.