Report NEP-RMG-2018-04-23This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Kamil Jod'z, 2018. "Mortality in a heterogeneous population - Lee-Carter's methodology," Papers 1803.11233, arXiv.org.
- M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2018. "Distributions of Historic Market Data -- Implied and Realized Volatility," Papers 1804.05279, arXiv.org.
- González-Rivera, Gloria & Ruiz Ortega, Esther & Maldonado, Javier, 2018. "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS 26623, Universidad Carlos III de Madrid. Departamento de Estadística.
- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
- KANAMURA Takashi, 2018. "Diversification Effect of Commodity Futures on Financial Markets," Discussion papers 18019, Research Institute of Economy, Trade and Industry (RIETI).
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2018. "Indifference pricing of pure endowments via BSDEs under partial information," Papers 1804.00223, arXiv.org, revised Jan 2019.
- Covarrubias-Sánchez, Claudia Ivett & Téllez-León, Isela-Elizabeth & Venegas-Martínez, Francisco, 2018.
"Portafolios del mercado bursátil mexicano que minimizan una medida coherente de riesgo sujeto a restricciones de rendimientos esperados y ventas en corto
[Optimal portfolios in the Mexican stock ma," MPRA Paper 85446, University Library of Munich, Germany.
- Thordur Jonasson & Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 18/74, International Monetary Fund.
- Charles W. Calomiris & Harry Mamaysky, 2018. "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers 24430, National Bureau of Economic Research, Inc.
- Trust R. Mpofu & Eftychia Nikolaidou, 2018. "Determinants of Credit Risk in the Banking system in Sub-Saharan Africa," School of Economics Macroeconomic Discussion Paper Series 2018-04, School of Economics, University of Cape Town.
- Gollier, Christian & Kimball, Miles S., 2018. "Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions"," IDEI Working Papers 884, Institut d'Économie Industrielle (IDEI), Toulouse.
- Eliud Moyi & Eftychia Nikolaidou, 2018. "Credit Risk in African Microfinance Institutions: Correlates and International Comparisons," School of Economics Macroeconomic Discussion Paper Series 2018-09, School of Economics, University of Cape Town.
- Yingli Wang & Qingpeng Zhang & Xiaoguang Yang, 2018. "Evolution of the Chinese Guarantee Network and Its Implication for Risk Management: Impacts from Financial Crisis and Stimulus Program," Papers 1804.05667, arXiv.org.
- Harun Tanrivermis & Yesim Aliefendioglu & Akin Ozturk & Yunus Emre Kapusuz, 2017. "Determining Risk Management Dynamics: An Analysis of Risk Perceptions of Real Estate Development Firms in Turkey," ERES eres2017_390, European Real Estate Society (ERES).