Printed from https://ideas.repec.org/n/nep-rmg/2018-07-09.html
Report NEP-RMG-2018-07-09
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:
- Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018, "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics, Boston College Department of Economics, number 953, Jan.
- Andreas Fuster & James Vickery, 2018, "Regulation and risk shuffling in bank securities portfolios," Staff Reports, Federal Reserve Bank of New York, number 851, Jun.
- Alain-Philippe Fortin & Jean-Guy Simonato & Georges Dionne, 2018, "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 18-4, Jun.
- Thai Nguyen & Mitja Stadje, 2018, "Optimal investment for participating insurance contracts under VaR-Regulation," Papers, arXiv.org, number 1805.09068, May, revised Jul 2019.
- Yves-Laurent Kom Samo & Dieter Hendricks, 2018, "What Makes An Asset Useful?," Papers, arXiv.org, number 1806.08444, Jun.
- Nicolás Álvarez & Antonio Fernandois & Andrés Sagner, 2018, "Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas," Working Papers Central Bank of Chile, Central Bank of Chile, number 818, Jun.
- Agénor, Pierre-Richard & Pereira da Silva, Luiz A., 2017, "Capital Requirements, Risk-Taking and Welfare in a Growing Economy," IDB Publications (Working Papers), Inter-American Development Bank, number 8206, Mar, DOI: http://dx.doi.org/10.18235/0011782.
- Alvarez, Roberto & Hansen, Erwin, 2017, "Corporate Currency Risk and Hedging in Chile: Real and Financial Effects," IDB Publications (Working Papers), Inter-American Development Bank, number 8191, Feb, DOI: http://dx.doi.org/10.18235/0011780.
- Tan Le & Franck Martin & Duc Nguyen, 2018, "Dynamic connectedness of global currencies: a conditional Granger-causality approach," Working Papers, HAL, number hal-01806733, Jun.
- Christoph Basten & Benjamin Guin & Catherine Koch, 2018, "How do banks and households manage interest rate risk? Evidence from mortgage applications and banks’ responses," Bank of England Staff Working Paper series, Bank of England, number 733, Jun.
- Michael Hoy & Afrasiab Mirza & Asha Sadanand, 2018, "Guaranteed Renewable Life Insurance Under Demand Uncertainty," CESifo Working Paper Series, CESifo, number 7103.
- Chengyi Tu & Paolo DOdorico & Samir Suweis, 2018, "Critical slowing down associated with critical transition and risk of collapse in cryptocurrency," Papers, arXiv.org, number 1806.08386, Jun, revised Nov 2019.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018, "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES22, Jun.
- Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018, "Changing Risk-Return Profiles," Staff Reports, Federal Reserve Bank of New York, number 850, Jun.
- Langlois, Hugues, 2018, "Measuring Skewness Premia," HEC Research Papers Series, HEC Paris, number 1256, Mar, revised 29 May 2019.
- Sebastián Fleitas & Gautam Gowrisankaran & Anthony Lo Sasso, 2018, "Reclassification Risk in the Small Group Health Insurance Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 24663, May.
- Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018, "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1808, Jun.
- Yingli Wang & Xiaoguang Yang, 2018, "Asymmetric response to PMI announcements in China's stock returns," Papers, arXiv.org, number 1806.04347, Jun.
- Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018, "Volatility-of-volatility risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 210, DOI: 10.2139/ssrn.3183610.
- Item repec:dnb:dnbwpp:599 is not listed on IDEAS anymore
- Sean A. Anthonisz & Talis Putnins, 2017, "Asset Pricing with Downside Liquidity Risks," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2017-1, Jan.