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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 working papers, 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.