Report NEP-RMG-2018-07-30This 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:
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
- J-C Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series 18-30, Swiss Finance Institute.
- Christensen, Jens H. E. & Lopez, Jose A. & Mussche, Paul, 2018. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Working Paper Series 2018-9, Federal Reserve Bank of San Francisco.
- Friederike Niepmann & Viktors Stebunovs, 2018. "Modeling Your Stress Away," International Finance Discussion Papers 1232, Board of Governors of the Federal Reserve System (U.S.).
- Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.
- Chandrashekar Kuyyamudi & Anindya S. Chakrabarti & Sitabhra Sinha, 2018. "Emergence of frustration signals systemic risk," Papers 1807.02923, arXiv.org.
- Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2018. "S&P 500 Index, an Option-Implied Risk Analysis," Swiss Finance Institute Research Paper Series 18-29, Swiss Finance Institute.
- Ahmed, Hanan & Einmahl, John, 2018. "Improved Estimation of the Extreme Value Index Using Related Variables," Discussion Paper 2018-025, Tilburg University, Center for Economic Research.
- Eugenia Andreasen & Patricio Valenzuela, 2018. "Investment Opportunities and Corporate Credit Risk," Documentos de Trabajo 335, Centro de Economía Aplicada, Universidad de Chile.
- Olkhov, Victor, 2017. "Quantitative Description of Financial Transactions and Risks," MPRA Paper 87316, University Library of Munich, Germany.
- Brkic, Sabina & Hodzic, Migdat & Dzanic, Enis, 2018. "Soft Data Modeling via Type 2 Fuzzy Distributions for Corporate Credit Risk Assessment in Commercial Banking," MPRA Paper 87652, University Library of Munich, Germany.
- Gross, Christian & Siklos, Pierre, 2018. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," ESRB Working Paper Series 78, European Systemic Risk Board.
- Jérémy Eydieux, 2018. "Valuation and Risk Management: Anticipation and Resilience," Post-Print hal-01817415, HAL.
- Hansjoerg Albrecher & Arian Cani, 2018. "On Randomized Reinsurance Contracts," Swiss Finance Institute Research Paper Series 18-33, Swiss Finance Institute, revised May 2018.
- Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
- Cremades, R. & Surminski, Swenja & Máñez Costa, M. & Hudson, P. & Shrivastava, P. & Gascoigne, J., 2018. "Using the adaptive cycle in climate-risk insurance to design resilient futures," LSE Research Online Documents on Economics 86505, London School of Economics and Political Science, LSE Library.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2018. "Risk management-driven policy rate gap," CAMA Working Papers 2018-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2018. "Valuing Life as an Asset, as a Statistic and at Gunpoint," Swiss Finance Institute Research Paper Series 18-27, Swiss Finance Institute.