Report NEP-RMG-2018-11-05

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:

• Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski, 2018, "On the solution uniqueness in portfolio optimization and risk analysis," Papers, arXiv.org, number 1810.11299, Oct, revised Oct 2020.
• Josselin Garnier & Knut Solna, 2018, "Optimal hedging under fast-varying stochastic volatility," Papers, arXiv.org, number 1810.08337, Oct, revised Mar 2020.
• Ki Young Park, 2018, "New Evidence on Procyclical Bank Capital Regulation: The Role of Bank Loan Commitments," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2018rwp-130, Oct.
• Hofmann, Maurice & Fehr, Hans, 2018, "Tenure Choice, Portfolio Structure and Long-term Care - Optimal Risk Management in Retirement," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181517.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-06, Oct.
• Hyeongwoo Kim & Wen Shi, 2018, "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-07, Oct.
• Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2018, "Asset allocation: new evidence through network approaches," Papers, arXiv.org, number 1810.09825, Oct.
• Abendschein, Michael & Grundke, Peter, 2018, "On the ranking consistency of global systemic risk measures: empirical evidence," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181623.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2018, "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper, University Library of Munich, Germany, number 89449, Oct.
• Zachary Feinstein & Birgit Rudloff, 2018, "Time consistency for scalar multivariate risk measures," Papers, arXiv.org, number 1810.04978, Oct, revised Nov 2021.
• Samir Kadiric & Arthur Korus, 2018, "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei251, Sep.
• Tereza Palanska, 2018, "Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/27, Oct, revised Oct 2018.
• Negi, Digvijay S., , "Tail-dependent Rainfall Risk and Demand for Index based Crop Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C., Agricultural and Applied Economics Association, number 274481, DOI: 10.22004/ag.econ.274481.
• Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018, "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Papers, arXiv.org, number 1810.09112, Oct.
• Zuzana Virglerova, 2018, "Determinants of Business Risks With Impact on SMEs in V4 countries," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 6509314, Jul.
• Elena Afanasyeva & Seung Jung Lee & Michele Modugno & Francisco J. Palomino, 2018, "The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Narrative Investigation," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2018-10-12-2, Oct, DOI: 10.17016/2380-7172.2253.
• Stefano Ciliberti & Stanislao Gualdi, 2018, "Portfolio Construction Matters," Papers, arXiv.org, number 1810.08384, Oct.
• Bell, Peter, 2018, "Funding Options from the Market," MPRA Paper, University Library of Munich, Germany, number 89360, Oct.
• Alex Garivaltis, 2018, "Multilinear Superhedging of Lookback Options," Papers, arXiv.org, number 1810.02447, Oct, revised Oct 2022.

Report NEP-RMG-2018-11-05

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: