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Report NEP-RMG-2018-07-16
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:
- González, Marta Ramos & Ureña, Antonio Partal & Fernández-Aguado, Pilar Gómez, 2018, "Proposal on ELBE and LGD in-default: tackling capital requirements after the financial crisis," Working Paper Series, European Central Bank, number 2165, Jun.
- Item repec:ems:eureir:109055 is not listed on IDEAS anymore
- Jozef Barun'ik & Matv{e}j Nevrla, 2018, "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Papers, arXiv.org, number 1806.06148, Jun, revised Dec 2021.
- Rajbir-Singh Nirwan & Nils Bertschinger, 2018, "Applications of Gaussian Process Latent Variable Models in Finance," Papers, arXiv.org, number 1806.03294, Jun, revised Apr 2019.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017, "Impact of multimodality of distributions on VaR and ES calculations," Post-Print, HAL, number halshs-01491990, Mar.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016, "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Post-Print, HAL, number halshs-01391091, Jul.
- Juan Francisco Martínez & José Miguel Matus & Daniel Oda, 2018, "Taxonomy of Chilean Financial Fragility Periods from 1975 to 2017," Working Papers Central Bank of Chile, Central Bank of Chile, number 822, Jun.
- Tim Xiao, 2017, "A New Model for Pricing Collateralized Financial Derivatives," Post-Print, HAL, number hal-01800559.
- Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Simple Market Timing with Moving Averages," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-19, May.
- Mou, W.M. & Wong, W.-K. & McAleer, M.J., 2018, "Financial Credit Risk and Core Enterprise Supply Chains," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-27, Jun.
- Rafal Rak & Dariusz Grech, 2018, "Quantitative approach to multifractality induced by correlations and broad distribution of data," Papers, arXiv.org, number 1805.11909, May.
- Lijun Bo & Agostino Capponi, 2018, "Portfolio Choice with Market-Credit Risk Dependencies," Papers, arXiv.org, number 1806.07175, Jun.
- Aurélien Violon & Dominique Durant & Oana Toader, 2018, "The Impact of the Identification of GSIBs on their Business Model," Débats Economiques et financiers, Banque de France, number 33.
- Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018, "Mortality/longevity Risk-Minimization with or without securitization," Papers, arXiv.org, number 1805.11844, May.