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Report NEP-RMG-2018-03-19
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:
- Dietmar Pfeifer & Andreas Mandle & Olena Ragulina & C^ome Girschig, 2018, "New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)," Papers, arXiv.org, number 1803.00957, Mar, revised May 2019.
- Andreas Muhlbacher & Thomas Guhr, 2018, "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers, arXiv.org, number 1803.00261, Mar.
- Michael B. Giles & Abdul-Lateef Haji-Ali, 2018, "Multilevel nested simulation for efficient risk estimation," Papers, arXiv.org, number 1802.05016, Feb, revised Feb 2019.
- Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016, "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper, University Library of Munich, Germany, number 84626, Jun, revised Nov 2016.
- Jose Fique, 2017, "The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0," Technical Reports, Bank of Canada, number 111, DOI: 10.34989/tr-111.
- Peter Martey Addo & Dominique Guegan & Bertrand Hassani, 2018, "Credit Risk Analysis using Machine and Deep Learning models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01719983, Feb.
- Sabur Mollah & Michael Skully & Eva Liljeblom, 2018, "Strong Boards and Risk-taking in Islamic Banks," Working Papers, Swansea University, School of Management, number 2018-08, Feb.
- Nijole Valinskyte & Erika Ivanauskaite & Darius Kulikauskas & Simonas Krepsta, 2018, "Leverage Ratio as a Macroprudential Policy Instrument," Bank of Lithuania Occasional Paper Series, Bank of Lithuania, number 18, Mar.
- Sumudu Kankanamge & Alexandre Gaillard, 2017, "Insuring entrepreneurial downside risk," 2017 Meeting Papers, Society for Economic Dynamics, number 1406.
- Francesca Biagini & Yinglin Zhang, 2018, "Extended Reduced-Form Framework for Non-Life Insurance," Papers, arXiv.org, number 1802.07741, Feb, revised Jun 2022.
- Bihary, Zsolt & Dömötör, Barbara, 2018, "How do manager incentives influence corporate hedging?," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2018/01, Feb.
- Dohmen, Thomas & Falk, Armin & Huffman, David & Sunde, Uwe, 2018, "On the Relationship Between Cognitive Ability and Risk Preference," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 76, Mar.
- Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017, "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 196, DOI: 10.2139/ssrn.2906719.
- Nassim Nicholas Taleb, 2018, "How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness," Papers, arXiv.org, number 1802.05495, Feb, revised Nov 2018.
- David Zeke, 2017, "Financial Frictions, Volatility, and Skewness," 2017 Meeting Papers, Society for Economic Dynamics, number 1421.