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Report NEP-RMG-2018-04-16
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:
- Janine Balter & Alexander J. McNeil, 2018, "On the Basel Liquidity Formula for Elliptical Distributions," Papers, arXiv.org, number 1803.07590, Mar.
- Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2018, "On Fairness of Systemic Risk Measures," Papers, arXiv.org, number 1803.09898, Mar, revised Apr 2019.
- Michel Fliess & Cédric Join & Cyril Voyant, 2018, "Prediction bands for solar energy: New short-term time series forecasting techniques," Post-Print, HAL, number hal-01736518, May, DOI: 10.1016/j.solener.2018.03.049.
- E. Hashorva, 2018, "Approximation of Some Multivariate Risk Measures for Gaussian Risks," Papers, arXiv.org, number 1803.06922, Mar, revised Oct 2018.
- Daniel Kinn, 2018, "Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning," Papers, arXiv.org, number 1804.01764, Apr, revised Jul 2018.
- Abdelkader Derbali & Lamia Jamel, 2018, "Dependence of default probability and recovery rate in structural credit risk models: Case of Greek banks," Post-Print, HAL, number hal-01695998, DOI: 10.1007/s13132-017-0473-1.
- Shinichi Kamiya & Jun-Koo Kang & Jungmin Kim & Andreas Milidonis & René M. Stulz, 2018, "What is the Impact of Successful Cyberattacks on Target Firms?," NBER Working Papers, National Bureau of Economic Research, Inc, number 24409, Mar.
- White, Alan, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 85331, Mar.
- Item repec:hal:wpaper:hal-01742638 is not listed on IDEAS anymore
- Alan White, 2018, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Papers, arXiv.org, number 1803.07843, Mar.
- Item repec:imf:imfdep:18/04 is not listed on IDEAS anymore
- Nabil Kazi-Tani, 2018, "Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer," Working Papers, HAL, number hal-01742629, Mar.
- Charlita de Freitas, Luciano & Euler de Morais, Leonardo & Manuel Baigorri, Carlos, 2017, "Risk and systemic risk perception in the telecommunications sector in Brazil: an investor perspective assessment," MPRA Paper, University Library of Munich, Germany, number 85687, Dec.
- Adriana Grasso & Filippo Natoli, 2018, "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1169, Mar.
- Li, Weiming & Gao, Jing & Li, Kunpeng & Yao, Qiwei, 2016, "Modelling multivariate volatilities via latent common factors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 68121, Oct.
- Item repec:imf:imfwpa:18/62 is not listed on IDEAS anymore
- Peng, Liang & Yao, Qiwei, 2017, "Estimating conditional means with heavy tails," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 73082, Aug.
- Louis Raymond Eeckhoudt & Elisa Pagani & Eugenio Peluso, 2017, "Multidimensional Risk Aversion: The Cardinal Sin," Working Papers, University of Verona, Department of Economics, number 12/2017, Jul.
- De Grauwe, Paul & Ji, Yuemei, 2018, "How safe is a safe asset?," CEPS Papers, Centre for European Policy Studies, number 13472, Feb.
- Groenewegen, Jesse & Wierts, Peter, 2017, "Two Big Distortions: Bank Incentives for Debt Financing," ESRB Working Paper Series, European Systemic Risk Board, number 53, Aug.
- Bougherara, Douadia & Nauges, Céline, 2018, "How laboratory experiments could help disentangle the influences of production risk and risk preferences on input decisions," TSE Working Papers, Toulouse School of Economics (TSE), number 18-903, Mar.
- Hanedar, Avni Önder & Yaldız Hanedar, Elmas, 2017, "Stock market reactions to wars and political risks: A cliometric perspective for a falling empire," MPRA Paper, University Library of Munich, Germany, number 85600, Feb, revised 25 Mar 2018.
- Katlea Fitriani, 2018, "An Analysis of the Management of Supply Chain Risk: A Study of the Islamic Fashion Industry in Bandung, Indonesia," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jber152, Feb.