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Report NEP-RMG-2018-02-26
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:
- Hege, Ulrich & Hutson, Elaine & Laing, Elaine, 2018, "The impact of mandatory governance changes on financial risk management," TSE Working Papers, Toulouse School of Economics (TSE), number 18-889, Feb.
- Katsutoshi Shimizu & Kim Cuong Ly, 2018, "Did Basel regulations cause a significant procyclicality?," Working Papers, Swansea University, School of Management, number 2018-06, Feb.
- Perea, Maite De Sola & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018, "Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment," ESRB Working Paper Series, European Systemic Risk Board, number 65, Jan.
- Rebekka Burkholz & Hans J. Herrmann & Frank Schweitzer, 2018, "Explicit size distributions of failure cascades redefine systemic risk on finite networks," Papers, arXiv.org, number 1802.03286, Feb.
- Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018, "Volatility options in rough volatility models," Papers, arXiv.org, number 1802.01641, Feb, revised Jan 2019.
- Manconi, Alberto & Braggion, Fabio & Zhu, Haikun, 2018, "Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12668, Jan.
- Takashi Shinzato, 2018, "Replica Approach for Minimal Investment Risk with Cost," Papers, arXiv.org, number 1802.03322, Feb.
- Lorenz Schneider & Bertrand Tavin, 2018, "Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets," Papers, arXiv.org, number 1802.01393, Feb, revised Nov 2018.
- Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018, "Deep Hedging," Papers, arXiv.org, number 1802.03042, Feb.
- Beber, Alessandro & Fabbri, Daniela & Pagano, Marco & Simonelli, Saverio, 2018, "Short-selling bans and bank stability," ESRB Working Paper Series, European Systemic Risk Board, number 64, Jan.
- Niepmann, Friederike & Stebunovs, Viktors, 2018, "Modeling Your Stress Away," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12624, Jan.
- Bayrak, Oben K. & Hey, John D., 2018, "Decisions under Risk Dispersion and Skewness," CERE Working Papers, CERE - the Center for Environmental and Resource Economics, number 2018:1, Jan, revised 12 Sep 2019.
- Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston, 2018, "Collateral Unchained: Rehypothecation Networks, Concentration and Systemic Effects," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2018-05, Feb.
- Adam M. Guren & Timothy J. McQuade, , "How Do Foreclosures Exacerbate Housing Downturns?," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2018-007.