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Report NEP-RMG-2018-12-03
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:
- Abdul Haque & Adeel Nasir, 2018, "The application of Value at Risk and Expected Shortfall as Controlling Mechanism of Systematic Risk of Pakistani Stock Market," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 7108551, Jun.
- Jonathan Acosta-Smith & Michael Grill & Jan Hannes Lang, 2018, "The leverage ratio, risk-taking and bank stability," Bank of England working papers, Bank of England, number 766, Sep.
- Cyril B'en'ezet & J'er'emie Bonnefoy & Jean-Franc{c}ois Chassagneux & Shuoqing Deng & Camilo Garcia Trillos & Lionel Len^otre, 2018, "A sparse grid approach to balance sheet risk measurement," Papers, arXiv.org, number 1811.08706, Nov.
- Mehmet Balcilar & Elie Bouri & Rangan Gupta & Mark E. Wohar, 2018, "Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration," Working Papers, University of Pretoria, Department of Economics, number 201875, Nov.
- Ben Hambly & Nikolaos Kolliopoulos, 2018, "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers, arXiv.org, number 1811.08808, Nov, revised Feb 2020.
- Christian Wei{ss} & Zoran Nikoli'c, 2018, "An Aspect of Optimal Regression Design for LSMC," Papers, arXiv.org, number 1811.08509, Nov, revised May 2019.
- Fausto Corradin & Domenico Sartore, 2018, "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:24.
- Tanapol Rattanasamakarn & Roengchai Tansuchat, 2018, "Realized Volatility in Agricultural Commodities Futures," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 7109342, Jun.
- David P. Glancy & Robert J. Kurtzman, 2018, "How do Capital Requirements Affect Loan Rates? Evidence from High Volatility Commercial Real Estate," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-079, Nov, DOI: 10.17016/FEDS.2018.079.
- Paul S. Calem & Julapa Jagtiani & Ramain Quinn Maingi, 2018, "Redefault Risk in the Aftermath of the Mortgage Crisis: Why Did Modifications Improve More Than Self-Cures?," Working Papers, Federal Reserve Bank of Philadelphia, number 18-26, Nov, DOI: 10.21799/frbp.wp.2018.26.
- Chala, Alemu Tulu, 2018, "Refinancing Risk and Debt Maturity Choice during a Financial Crisis," Working Papers, Lund University, Department of Economics, number 2018:33, Nov.
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2018, "Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?," Working Papers, University of Pretoria, Department of Economics, number 201879, Nov.
- K.S. , A. & Khan, T. & Kishore, A., 2018, "Willingness to pay for Weather Based Crop Insurance in Punjab," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists, number 277516, Jul, DOI: 10.22004/ag.econ.277516.
- Simona Malovana, 2018, "The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/12, Oct.
- Wensheng Kang & Ronald A. Ratti & Joaquin Vespignani, 2018, "Financial and Non-Financial Global Stock Market Volatility Shocks," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-58, Nov.
- Ozdenoren, Emre & Yuan, Kathy, 2017, "Contractual externalities and systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 75998, Oct.
- Liu, Y. & Ker, A., 2018, "Is There Too Much History in Historical Yield Data," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists, number 277293, Jul, DOI: 10.22004/ag.econ.277293.
- Christophe Courbage & Guillem Montoliu-Montes & Béatrice Rey, 2018, "How vulnerable is risk aversion to wealth, health and other risks? An empirical analysis for Europe," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1827.
- Raouf Boucekkine & Kazuo Nishimura & Alain Venditti, 2016, "Introduction to International Financial Markets and Banking Systems Crises," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1824, Dec.
- Sharma, S. & Walters, C., 2018, "Influence of Farm and Lease Type on Crop Insurance Returns," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists, number 277399, Jul, DOI: 10.22004/ag.econ.277399.