Report NEP-RMG-2018-04-30This 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:
- Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
- CLERE, Roland & MARANDE, Stephane, 2018. "Default risk and equity value: forgotten factor or cultural revolution?," MPRA Paper 85659, University Library of Munich, Germany.
- Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
- Rihab Khemiri & Khaoula Elbedoui-Maktouf & Bernard Grabot & Belhassen Zouari, 2017. "A fuzzy multi-criteria decision making approach for managing performance and risk in integrated procurement-production planning," Post-Print hal-01758604, HAL.
- Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2018. "Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations," Working Papers hal-01761234, HAL.
- Brinkhoff, Jeroen & Langfield, Sam & Weeken, Olaf, 2018. "From the horse’s mouth: surveying responses to stress by banks and insurers," ESRB Occasional Paper Series 15, European Systemic Risk Board.
- Chotibhak, Jotikasthira & Ellul, Andrew & Kartasheva, Anastasia & Lundblad, Christian & Wagner, Wolf, 2018. "Insurers as Asset Managers and Systemic Risk," CEPR Discussion Papers 12849, C.E.P.R. Discussion Papers.
- Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
- Julien Bengui & Toan Phan, 2018. "Asset Pledgeability and Endogenously Leveraged Bubbles," Working Paper 18-11, Federal Reserve Bank of Richmond.
- Stéphane Crépey & Shiqi Song, 2018. "Counterparty risk and funding: immersion and beyond," Working Papers hal-01764403, HAL.
- Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers on Economics 3/2018, University of Southern Denmark, Department of Economics.
- Jan-Christian Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018," Papers 1804.06261, arXiv.org, revised May 2019.
- Ono, Arito & Suzuki, Katsushi & Uesugi, Iichiro, 2018. "When Japanese Banks Become Pure Creditors: The effects of declining shareholding by banks on bank lending and firms’risk-taking," HIT-REFINED Working Paper Series 76, Institute of Economic Research, Hitotsubashi University.
- Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
- Yannick Armenti & Stéphane Crépey & Chao Zhou, 2018. "The Sustainable Black-Scholes Equations," Working Papers hal-01764397, HAL.
- Ya-Chun Gao & Huai-Lin Tang & Shi-Min Cai & Jing-Jing Gao & H. Eugene Stanley, 2018. "The impact of margin trading on share price evolution: A cascading failure model investigation," Papers 1804.07352, arXiv.org.
- Akin Ozturk & Harun Tanrivermis & Yunus Emre Kapusuz, 2017. "The Framework of Risk Management in A Real Estate Development Project With A Focus on Macroeconomics Aspects: A Case of Mixed-Use Real Estate Project in Ankara Province," ERES eres2017_391, European Real Estate Society (ERES).