Report NEP-RMG-2018-10-22This 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:
- Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
- Emilian Belev & Richard Gold, 2018. "Replicating Expected Commercial Real Estate (CRE) Risk and Returns Using Liquid Market Instruments and CRE Market-Related Investment Risk," ERES eres2018_13, European Real Estate Society (ERES).
- Giuseppe Attanasi & Laura Concina & Caroline Kamate & Valentina Rotondi, 2018. "Firm's Protection against Disasters: Are Investment and Insurance Substitutes or Complements?," GREDEG Working Papers 2018-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis, revised Dec 2018.
- Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "A framework for early-warning modeling with an application to banks," Working Paper Series 2182, European Central Bank.
- Yusuke Uchiyama & Takanori Kadoya & Kei Nakagawa, 2018. "Complex Valued Risk Diversification," Papers 1810.04370, arXiv.org.
- Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2018. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Papers 1810.04623, arXiv.org.
- Michael T. Kiley, 2018. "Unemployment Risk," Finance and Economics Discussion Series 2018-067, Board of Governors of the Federal Reserve System (US), revised 28 Sep 2018.
- Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018. "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201809, University of Kansas, Department of Economics, revised Sep 2018.
- Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
- Amy Lorenc & Jeffery Y. Zhang, 2018. "The Differential Impact of Bank Size on Systemic Risk," Finance and Economics Discussion Series 2018-066, Board of Governors of the Federal Reserve System (US), revised 28 Sep 2018.
- Zabolotnyy, Serihiy & Wasilewski, Mirosław, 2018. "Operating and financial leverage as risk measures in agricultural companies," Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej 276377, Institute of Agricultural and Food Economics - National Research Institute (IAFE-NRI).
- Jean-Christophe Delfim & Martin Hoesli, 2018. "Real Estate Risk Factors and Portfolio Allocation," ERES eres2018_124, European Real Estate Society (ERES).
- Kettlewell, Nathan, 2018. "Risk preference dynamics around life events," Working Papers 2018-07, University of Sydney, School of Economics.