Report NEP-RMG-2018-12-10This 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:
- Matthew Norton & Valentyn Khokhlov & Stan Uryasev, 2018. "Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation," Papers 1811.11301, arXiv.org, revised Feb 2019.
- Ophélie Couperier & Jérémy Leymarie, 2019. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
- Xing, Victor, 2018. "Active Asset Managers Face Asymmetric Risks from Paradigm Shift," MPRA Paper 89855, University Library of Munich, Germany.
- Gete, Pedro, 2018. "Lending standards and macroeconomic dynamics," Working Paper Series 2207, European Central Bank.
- Dan Constantinescu, 2018. "New Challenges of Globalization in Pension Systems," Working papers 01, Ecological University of Bucharest, Department of Economics.
- Fabio C. Bagliano & Raffaele Corvino & Carolina Fugazza & Giovanna Nicodano, 2018. "Hedging Labor Income Risk over the Life-Cycle," Working papers 058, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Giulia De Masi & Giorgio Ricchiuti, 2018. "EU FDI Network and Systemic Risks," Working Papers - Economics wp2018_27.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.
- Rodolfo E. Manuelli & Juan M. Sanchez, 2018. "Endogenous Debt Maturity: Liquidity Risk vs. Default Risk," Working Papers 2018-34, Federal Reserve Bank of St. Louis.
- Battaglia, Marianna & Gulesci, Selim & Madestam, Andreas, 2018. "Repayment Flexibility and Risk Taking: Experimental Evidence from Credit Contracts," CEPR Discussion Papers 13329, C.E.P.R. Discussion Papers.
- Abdullah, Azrul & Ku Ismail, Ku Nor Izah, 2017. "Companies’ Characteristics and the Choice of Hedge Accounting for Derivatives Reporting: Evidence from Malaysian Listed Companies," MPRA Paper 90213, University Library of Munich, Germany.
- Degryse, Hans & Karapetyan, Artashes & Karmakar, Sudipto, 2018. "To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization," CEPR Discussion Papers 13331, C.E.P.R. Discussion Papers.
- Alexis Louaas & Pierre Picard, 2018. "Optimal insurance coverage of low probability-high severity risks," Working Papers hal-01924408, HAL.
- O'Brien, Martin & Wosser, Michael, 2018. "An Early Warning System for Systemic Banking Crises: A Robust Model Specification," Research Technical Papers 9/RT/18, Central Bank of Ireland.
- Ulrik W. Nash, 2018. "Fair Odds for Noisy Probabilities," Papers 1811.12516, arXiv.org.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.