Report NEP-RMG-2018-11-12

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Bucher, Monika & Dietrich, Diemo & Hauck, Achim, 2018, "Implications of bank regulation for loan supply and bank stability: A dynamic perspective," Discussion Papers, Deutsche Bundesbank, number 43/2018.
• Sona Kilianova & Daniel Sevcovic, 2018, "Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization," Papers, arXiv.org, number 1810.11619, Oct.
• victor Lyonnet, 2018, "Asset-liability management in life insurance: Evidence from France," Working Papers, Center for Research in Economics and Statistics, number 2018-12, Aug.
• Mazzocchetti, Andrea & Lauretta, Eliana & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2018, "Systemic Financial Risk Indicators and Securitised Assets: an Agent-Based Framework," MPRA Paper, University Library of Munich, Germany, number 89779, Oct.
• Karel Janda & Jakub Kourilek, 2018, "Residual Shape Risk on Czech Natural Gas Market," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/33, Oct, revised Oct 2018.
• Yu Feng & Erik Schlogl, 2018, "Model Risk Measurement Under Wasserstein Distance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 393, Sep.
• Nils Bertschinger & Julian Stobbe, 2018, "Systemic Greeks: Measuring risk in financial networks," Papers, arXiv.org, number 1810.11849, Oct.
• Rangan Gupta & Chi Keung Marco Lau & Wendy Nyakabawo, 2018, "Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment," Working Papers, University of Pretoria, Department of Economics, number 201866, Oct.
• Rudolf KLEIN & Alina KLEIN, 2018, "Decomposing The Investor Sentiment," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 8208471, Jul.
• Jize Zhang & Tim Leung & Aleksandr Aravkin, 2018, "A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization," Papers, arXiv.org, number 1810.10563, Oct.
• Woon K. Wong, 2018, "The Discount Rate Debate and Its Implications for Defined Benefit Pensions," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/22, Nov.
• David Vidal-Tomás & Simone Alfarano, 2018, "An agent based early warning indicator for financial market instability," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2018/12.
• Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018, "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 394, Oct.
• Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018, "Asymmetric Network Connectedness of Fears," Papers, arXiv.org, number 1810.12022, Oct, revised Oct 2020.
• Constantino Hevia & Martin Sola, 2018, "Bond risk premia and restrictions on risk prices," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2018_03, Oct.
• Ana Mafalda Vasconcelos, 2018, "Why political risk matters for banking flows?," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 6508376, Jul.
• Otto Konstandatos, 2018, "Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 396, Oct.
• Han (H.) Bleichrodt & Paul van Bruggen, 2018, "Reflection for higher order risk preferences," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-079/I, Oct.
• 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," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 395, Oct.
• Item repec:cte:idrepe:27672 is not listed on IDEAS anymore

• Volodymyr Perederiy, 2018, "Vanna-Volga Method for Normal Volatilities," Papers, arXiv.org, number 1810.07457, Oct, revised Jan 2022.

Report NEP-RMG-2018-11-12

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: