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Report NEP-RMG-2018-10-15
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:
- Svetlana Litvinova & Mervyn J Silvapulle, 2018, "Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/18.
- Schwenke, Eric & Davis, Todd, , "Western Kentucky Corn and Storage Soybean Storage Returns and Risk Management Potential," 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida, Southern Agricultural Economics Association, number 266702, DOI: 10.22004/ag.econ.266702.
- Helder Rojas & David Dias, 2018, "Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing," Papers, arXiv.org, number 1809.07401, Sep, revised May 2019.
- Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018, "Reconstructing and stress testing credit networks," ESRB Working Paper Series, European Systemic Risk Board, number 84, Sep.
- Soumyatanu Mukherjee & Udo Broll, 2018, "Firms in international trade under undesirable background risk," Discussion Papers, University of Nottingham, GEP, number 2018-11.
- Kei Nakagawa & Takumi Uchida & Tomohisa Aoshima, 2018, "Deep Factor Model," Papers, arXiv.org, number 1810.01278, Oct.
- Fischer, Thomas & Lundtofte , Frederik, 2018, "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers, Lund University, Department of Economics, number 2018:25, Oct.
- Peter Van Tassel, 2018, "Equity Volatility Term Premia," Staff Reports, Federal Reserve Bank of New York, number 867, Sep.
- Gong, Xuche & Feng, Hongli & Hennessy, David A., , "Systemic Risk, Geography and Area Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C., Agricultural and Applied Economics Association, number 274479, DOI: 10.22004/ag.econ.274479.
- Ferriani, Fabrizio & Natoli, Filippo & Veronese, Giovanni & Zeni, Federica, 2018, "Futures risk premia in the era of shale oil," MPRA Paper, University Library of Munich, Germany, number 89097, Aug.
- Simon Oh & Jessica A. Wachter, 2018, "Cross-sectional Skewness," NBER Working Papers, National Bureau of Economic Research, Inc, number 25113, Sep.
- Massimo Guidolin & Alexei G. Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1887.
- Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018, "“Time connectedness of fear”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201818, Sep, revised Sep 2018.
- Misha Perepelitsa, 2018, "A model of adaptive, market behavior generating positive returns, volatility and system risk," Papers, arXiv.org, number 1809.09601, Sep.
- Inoue, Hitoshi & Nakashima, Kiyotaka & Takahashi, Koji, 2018, "The Emergence of A Parallel World: The Misperception Problem for Bank Balance Sheet Risk and Lending Behavior," MPRA Paper, University Library of Munich, Germany, number 89088, Jul.
- Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018, "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers, Brandeis University, Department of Economics and International Business School, number 123, Sep.
- Nikolai Dokuchaev, 2018, "On a gap between rational annuitization price for producer and price for customer," Papers, arXiv.org, number 1809.08960, Sep.
- Damian Damianov & Cheng Yan & Xiangdong Wang, 2018, "Measures of mortgage default risk and local house price dynamics ," ERES, European Real Estate Society (ERES), number eres2018_163, Jan.
- Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018, "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper, Norges Bank, number 2018/10, Oct.
- Stephen Roulac & Alastair Adair & Stanley McGreal, 2018, "Inside value creation and destruction: opportunism and risk management in development deal making strategies," ERES, European Real Estate Society (ERES), number eres2018_340, Jan.