Printed from https://ideas.repec.org/n/nep-rmg/2018-04-09.html
Report NEP-RMG-2018-04-09
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:
- Rihab Bedoui & Islem Kedidi, 2018, "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers, HAL, number hal-01678050, Jan.
- Kirti, Divya, 2018, "When gambling for resurrection is too risky," ESRB Working Paper Series, European Systemic Risk Board, number 69, Feb.
- Item repec:hal:journl:hal-01727669 is not listed on IDEAS anymore
- Item repec:hal:wpaper:hal-01736525 is not listed on IDEAS anymore
- Erwan Koch, 2018, "Spatial risk measures and rate of spatial diversification," Papers, arXiv.org, number 1803.07041, Mar, revised Jun 2019.
- Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018, "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES18, Mar.
- Luca Spadafora & Francesca Sivero & Nicola Picchiotti, 2018, "Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling," Papers, arXiv.org, number 1803.07021, Mar, revised Mar 2018.
- Item repec:hal:wpaper:hal-01697117 is not listed on IDEAS anymore
- Abdelkader Derbali, 2018, "The credit portfolio management by the econometric models: A theoretical analysis," Working Papers, HAL, number hal-01696010, Jan.
- Lotfaliei, Babak, 2018, "The variance risk premium and capital structure," ESRB Working Paper Series, European Systemic Risk Board, number 70, Mar.
- Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017, "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers, Society for Economic Dynamics, number 1641.
- Peter Martey Addo & Dominique Guegan & Bertrand Hassani, 2018, "Credit Risk Analysis using Machine and Deep learning models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:08.
- Abdelkader Derbali, 2018, "How the default probability is defined by the CreditRisk+ model?," Working Papers, HAL, number hal-01696011, Jan.
- Sebnem Kalemli-Ozcan & Xiaoxi Liu & Ilhyock Shim, 2018, "Exchange rate appreciations and corporate risk taking," BIS Working Papers, Bank for International Settlements, number 710, Mar.
- Abdelkader Derbali, 2018, "The credit portfolio management by structural models: A theoretical analysis," Working Papers, HAL, number hal-01696009, Jan.
- Alan White, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Working Papers, HAL, number hal-01739310, Mar.
- Hałaj, Grzegorz, 2018, "Agent-based model of system-wide implications of funding risk," Working Paper Series, European Central Bank, number 2121, Jan.
- Paul E. Carrillo & William M. Doerner & William D. Larson, 2018, "House Price Markups and Mortgage Defaults," FHFA Staff Working Papers, Federal Housing Finance Agency, number 18-02, Apr, DOI: 10.1111/jmcb.12940.
- Abdelkader Derbali & Tarek Chebbi, 2018, "Dynamic Equicorrelation between S&P500 Index and S&P GSCI," Working Papers, HAL, number hal-01695995, Jan.
- Aslanidis, Nektarios, & Christiansen, Charlotte, 2018, "Flight to Safety from European Stock Markets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/306547.