Report NEP-RMG-2018-10-01

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:

• Siemsen, Thomas & Vilsmeier, Johannes, 2018, "On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests," Discussion Papers, Deutsche Bundesbank, number 31/2018.
• Dinghai Xu & Jingru Ji & Donghua Wang, 2018, "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Working Papers, University of Waterloo, Department of Economics, number 1806, Jan, revised 09 Jan 2018.
• Queensley C Chukwudum, 2018, "Reinsurance Pricing of Large Motor Insurance Claims in Nigeria: An Extreme Value Analysis," Working Papers, HAL, number hal-01855973, Aug.
• Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018, "Challenges in Implementing Worst-Case Analysis," Staff Working Papers, Bank of Canada, number 18-47, DOI: 10.34989/swp-2018-47.
• Queensley C Chukwudum, 2018, "Extreme Value Theory and Copulas: Reinsurance in the Presence of Dependent Risks," Working Papers, HAL, number hal-01855971, Aug.
• Natalia Kunitsyna & Igor Britchenko & Igor Kunitsyn, 2018, "Reputational risks, value of losses and financial sustainability of commercial banks," Post-Print, HAL, number hal-01859319, Jun, DOI: 10.9770/jesi.2018.5.4(17).
• Cuautle-Parra, David & Riley, John M., , "Effectiveness of United States Corn Futures Contracts as Hedging Instruments for Mexican Corn Producers," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida, Southern Agricultural Economics Association, number 266732, DOI: 10.22004/ag.econ.266732.
• Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., , "Dealing with Downside Risk in Energy Markets: Futures versus Exchange-Traded Funds," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida, Southern Agricultural Economics Association, number 266564, DOI: 10.22004/ag.econ.266564.
• Lin Fan & Junting Duan & Peter W. Glynn & Markus Pelger, 2018, "Change-Point Testing for Risk Measures in Time Series," Papers, arXiv.org, number 1809.02303, Sep, revised Oct 2025.
• Kramer, B. & Ceballos, F., 2018, "Enhancing adaptive capacity through climate-smart insurance: Theory and evidence from India," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists, number 275926, Jul, DOI: 10.22004/ag.econ.275926.
• Yu Feng & Erik Schlogl, 2018, "Model Risk Measurement under Wasserstein Distance," Papers, arXiv.org, number 1809.03641, Sep, revised Mar 2019.
• Item repec:bof:bofrdp:2018_016 is not listed on IDEAS anymore

• Peter Carr & Zhibai Zhang, 2018, "Generalizing Geometric Brownian Motion," Papers, arXiv.org, number 1809.02245, Sep.
• Adi Mordel, 2018, "Prudential Liquidity Regulation in Banking-A Literature Review," Discussion Papers, Bank of Canada, number 18-8, DOI: 10.34989/sdp-2018-8.
• Toni Ahnert & James Chapman & Carolyn A. Wilkins, 2018, "Should Bank Capital Regulation Be Risk Sensitive?," Staff Working Papers, Bank of Canada, number 18-48, DOI: 10.34989/swp-2018-48.
• Daniela Escobar & Georg Pflug, 2018, "The distortion principle for insurance pricing: properties, identification and robustness," Papers, arXiv.org, number 1809.06592, Sep.
• Huettel, Silke & Murtazashvili, Irina & Weltin, Meike & Erickson, Kenneth W., , "Off-farm Income: A Risk Management Strategy for Farm Households?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association, number 258113, DOI: 10.22004/ag.econ.258113.
• Cecilia Parlatore, 2018, "Designing Stress Scenarios," 2018 Meeting Papers, Society for Economic Dynamics, number 1090.
• Olga A. Shvetsova & Elena A. Rodionova & Michael Z. Epstein, 2018, "Evaluation of investment projects under uncertainty: multi-criteria approach using interval data," Post-Print, HAL, number hal-01858557, Jun, DOI: 10.9770/jesi.2018.5.4(15).
• Haotian Xiang, 2018, "Corporate Debt Choice and Bank Capital Regulation," 2018 Meeting Papers, Society for Economic Dynamics, number 327.
• Xu, Minhong & Xu, Yilan, , "Environmental Hazards and Mortgage Credit Risk: Evidence from Texas Pipeline Incidents," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association, number 258019, DOI: 10.22004/ag.econ.258019.
• Jeonggyu Huh, 2018, "Measuring Systematic Risk with Neural Network Factor Model," Papers, arXiv.org, number 1809.04925, Sep.
• Zeytoon Nejad Moosavian, Seyyed Ali, , "Flexible Modeling of Multivariate Risks in Pricing Margin Protection Insurance: Modeling Portfolio Risks with Mixtures of Mixtures," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association, number 258104, DOI: 10.22004/ag.econ.258104.
• Arthur T. Rego & Thiago R. dos Santos, 2018, "Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler," Papers, arXiv.org, number 1809.01501, Aug, revised Oct 2018.
• Rosch, Stephanie D., , "Risk Attitudes of US Agricultural Producers," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association, number 258025, DOI: 10.22004/ag.econ.258025.

Report NEP-RMG-2018-10-01

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: