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Report NEP-RMG-2018-10-08
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 & Alexander Schied & Ruodu Wang, 2018, "Robustness in the Optimization of Risk Measures," Papers, arXiv.org, number 1809.09268, Sep, revised Feb 2021.
- Mengheng Li & Marcel Scharth, 2018, "Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 49, Aug.
- Park, Eunchun & Maples, Joshua, , "Serially Dependent Extreme Events in Agricultural Commodity Futures Markets," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida, Southern Agricultural Economics Association, number 266626, DOI: 10.22004/ag.econ.266626.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018, "ExpectHill estimation, extreme risk and heavy tails," TSE Working Papers, Toulouse School of Economics (TSE), number 18-953, Sep.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2018, "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-18, Jun.
- Davis, Todd D. & Schwenke, Eric, , "Pre-Harvest Risk Management for Kentucky Grain Farms," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida, Southern Agricultural Economics Association, number 266594, DOI: 10.22004/ag.econ.266594.
- Sonia Benito Muela & Mª Ángeles Navarro, 2018, "Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-20, Sep.
- Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018, "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers, arXiv.org, number 1809.09889, Sep, revised Feb 2020.
- Goodness C. Aye & Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2018, "Firm-Level Political Risk and Asymmetric Volatility," Working Papers, University of Pretoria, Department of Economics, number 201861, Sep.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2018, "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 659, Sep.
- Gündüz, Yalin, 2018, "Mitigating counterparty risk," Discussion Papers, Deutsche Bundesbank, number 35/2018.
- Jimin Lin & Matthew Lorig, 2018, "On Carr and Lee's correlation immunization strategy," Papers, arXiv.org, number 1809.10256, Sep, revised Mar 2019.
- Henrik O. Rasmussen & Paul Wilmott, 2018, "Tail probabilities for short-term returns on stocks," Papers, arXiv.org, number 1809.08416, Sep, revised Mar 2019.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018, "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2608.
- Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018, "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-25, Sep.
- Felix-Benedikt Liebrich & Gregor Svindland, 2018, "Risk sharing for capital requirements with multidimensional security markets," Papers, arXiv.org, number 1809.10015, Sep.
- Nino Antulov-Fantulin & Dijana Tolic & Matija Piskorec & Zhang Ce & Irena Vodenska, 2018, "Inferring short-term volatility indicators from Bitcoin blockchain," Papers, arXiv.org, number 1809.07856, Sep.
- Mikhail Zhitlukhin, 2018, "Monotone Sharpe ratios and related measures of investment performance," Papers, arXiv.org, number 1809.10193, Sep, revised May 2021.
- Crane-Droesch, Andrew & Marshall, Elizabeth & Riddle, Anne & Rosch, Stephanie D. & Cooper, Joseph C. & Wallander, Steven, , "Climate and Crop Insurance: Agricultural Risk Management into the 21st Century," 2018 Annual Meeting, August 5-7, Washington, D.C., Agricultural and Applied Economics Association, number 274292, DOI: 10.22004/ag.econ.274292.
- Michael Preischl & Stefan Thonhauser, 2018, "Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model," Papers, arXiv.org, number 1809.00990, Sep.
- Lu, Richard & Yang, Chen-Chen & Wong, Wing-Keung, 2018, "Time Diversification: Perspectives from the Economic Index of Riskiness," MPRA Paper, University Library of Munich, Germany, number 89167, Oct, revised 02 Oct 2018.
- Li, Zheng & Rejesus, Roderick M. & Zheng, Xiaoyong, , "Nonparametric Estimation and Inference of Production Risk with Categorical Variables," 2018 Annual Meeting, August 5-7, Washington, D.C., Agricultural and Applied Economics Association, number 274400, DOI: 10.22004/ag.econ.274400.