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Report NEP-RMG-2018-06-11
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:
- Richard Gerlach & Chao Wang, 2018, "Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures," Papers, arXiv.org, number 1805.08653, May.
- James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018, "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers, arXiv.org, number 1805.08454, May.
- Item repec:dnb:dnbwpp:593 is not listed on IDEAS anymore
- Marco Migueis, 2018, "Is Operational Risk Regulation Forward-looking and Sensitive to Current Risks?," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2018-05-21-2, May, DOI: 10.17016/2380-7172.2198.
- Joshua V. Rosenberg, 2018, "Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City," Speech, Federal Reserve Bank of New York, number 285, May.
- Alexey Vasilenko, 2018, "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach," Bank of Russia Working Paper Series, Bank of Russia, number wps30, Mar.
- Georges Prat & Remzi Uctum, 2018, "Term structure of interest rates: modelling the risk premium using a two horizons framework," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2018-25.
- Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018, "Nonparametric Bayesian volatility estimation," Papers, arXiv.org, number 1801.09956, Jan, revised Mar 2019.
- Masayuki Kazato & Tetsuya Yamada, 2018, "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-03, May.
- Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018, "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-048/III, May.
- Nobuhiro NAKAMURA & Kazuhiko OHASHI, 2018, "Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 18027, May.
- Item repec:dnb:dnbwpp:592 is not listed on IDEAS anymore
- Tan T. M. Le & Franck Martin & Duc K. Nguyen, 2018, "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2018-04, Apr.
- Awin, Ejin, 2018, "Liquidity Risk And Its Determinants': A Study On Oil And Gas Industry In Tatneft," MPRA Paper, University Library of Munich, Germany, number 86816, May, revised 15 Apr 2018.
- Metin Ilbasmis & Marc Gronwald & Yuan Zhao, 2018, "Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy," CESifo Working Paper Series, CESifo, number 7015.
- Wruck, Karen H. & Wu, YiLin, 2017, "Equity Incentives, Disclosure Quality, and Stock Liquidity Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-02, Feb.
- Leaver, Meghan & Griffiths, Alex & Reader, Tom W., 2018, "Near misses in financial trading: skills for capturing and averting error," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87885, May.
- PERRON, Pierre & YAMAMOTO, Yohei & 山本, 庸平, 2018, "Testing for Changes in Forecasting Performance," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2018-03, May.
- Schwert, Michael, 2016, "Municipal Bond Liquidity and Default Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-16, Sep.