Report NEP-RMG-2018-08-20

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:

• Paul Embrechts & Haiyan Liu & Tiantian Mao & Ruodu Wang, 2017, "Quantile-Based Risk Sharing with Heterogeneous Beliefs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-65, Dec, revised Jan 2018.
• Shinji Kakinaka & Ken Umeno, 2018, "Characterizing Cryptocurrency market with Levy's stable distributions," Papers, arXiv.org, number 1807.05360, Jul, revised Nov 2019.
• Frantiv{s}ek v{C}ech & Jozef Barun'ik, 2018, "Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities," Papers, arXiv.org, number 1807.11823, Jul.
• Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016, "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0061, Dec.
• Yuxia Huang & Chuancun Yin, 2018, "A unifying approach to constrained and unconstrained optimal reinsurance," Papers, arXiv.org, number 1807.06892, Jul.
• Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018, "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 626.
• Diane Pierret & Roberto Steri, 2017, "Stressed Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-58, Nov.
• Sun, Baojing, , "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index," Working Papers, University of Victoria, Resource Economics and Policy, number 257083, DOI: 10.22004/ag.econ.257083.
• Jamal Bouoiyour & Refk Selmi, 2019, "Brexit and CDS spillovers across UK and Europe," Post-Print, HAL, number hal-01736525, Jun, DOI: 10.25428/1824-2979/201901-105-124.
• Magdalena Tywoniuk, 2017, "CDS Central Counterparty Clearing Liquidation: Road to Recovery or Invitation to Predation?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-45, Sep.
• Stefano Cosma & Francesca Pancotto & Paola Vezzani, 2018, "Customer Complaining and Probability of Default in Consumer Credit," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0068, Mar.
• BENGUI, Julien & PHAN, Toan, 2018, "Asset pledgeability and endogenously leveraged bubbles," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2018-04.
• Marinela Adriana Finta & José Renato Haas Ornelas, 2018, "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series, Central Bank of Brazil, Research Department, number 479, Jul.
• Neil Bhutta & Benjamin J. Keys, 2018, "Eyes Wide Shut? The Moral Hazard of Mortgage Insurers during the Housing Boom," NBER Working Papers, National Bureau of Economic Research, Inc, number 24844, Jul.
• McKendree, Melissa G.S. & Tonsor, Glynn T. & Schulz, Lee L., , "Feedlot Risk Management and Benchmarking Survey Summary," Staff Paper Series, Michigan State University, Department of Agricultural, Food, and Resource Economics, number 264530, DOI: 10.22004/ag.econ.264530.
• Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017, "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-69, Dec, revised Jan 2018.
• Phume, Maphelane Palesa & Bonga-Bonga, Lumengo, 2018, "Return and volatility spillovers between South African and Nigerian equity markets," MPRA Paper, University Library of Munich, Germany, number 87638, May.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018, "Valuation Risk Revalued," Working Papers, Federal Reserve Bank of Dallas, number 1808, Jul, DOI: 10.24149/wp1808.
• Jakub Hajda, 2017, "Fundamental Risk and Capital Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-50, Nov.
• Massimiliano Affinito & Matteo Piazza, 2018, "Always look on the bright side? Central counterparties and interbank markets during the financial crisis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1181, Jul.
• S. Valeyre & D. S. Grebenkov & S. Aboura, 2018, "Emergence of correlations between securities at short time scales," Papers, arXiv.org, number 1807.05015, Jul.
• Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2018, "Branch Network Structure and Lending Behaviour," Working Papers, National Bank of Ukraine, number 03/2018, Aug.

Report NEP-RMG-2018-08-20

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: