Report NEP-RMG-2018-12-24

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:

• Marc Hinterschweiger & Tobias Neumann & Victoria Saporta, 2018, "Risk sensitivity and risk shifting in banking regulation," Bank of England Financial Stability Papers, Bank of England, number 44, Jul.
• Item repec:bof:bofrdp:2018_026 is not listed on IDEAS anymore

• Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018, "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series, European Central Bank, number 2218, Dec.
• Item repec:dnb:dnbwpp:618 is not listed on IDEAS anymore

• Erwan Koch & Christian Y. Robert, 2018, "Stochastic derivative estimation for max-stable random fields," Papers, arXiv.org, number 1812.05893, Dec, revised Nov 2020.
• Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2018, "Putting the pension back in 401(k) retirement plans: Optimal versus default longevity income annuities," CFS Working Paper Series, Center for Financial Studies (CFS), number 607.
• José Fillat & Stefania Garetto & Arthur V. Smith, 2018, "What are the consequences of global banking for the international transmission of shocks?: a quantitative analysis," Working Papers, Federal Reserve Bank of Boston, number 18-11, Oct.
• Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018, "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 25317, Nov.
• Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018, "Volatility Risk Pass-Through," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13325, Nov.
• Marco Bee & Julien Hambuckers & Luca Trapin, 2018, "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," DEM Working Papers, Department of Economics and Management, number 2018/08.
• Kashyap, Anil & Wetherilt, Anne, 2018, "Some Principles for Regulating Cyber Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13324, Nov.
• Item repec:cbi:fsnote:04/18 is not listed on IDEAS anymore

• Pavlova, Anna & Kashyap, Anil & Kovrijnykh, Natalia & ,, 2018, "The Benchmark Inclusion Subsidy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13356, Dec.
• Mohammad Azmi, Nur Syafikah Atirah, 2018, "The Factors Influence Credit Risk in Japan Banking Sector Specific for Kyoto Bank," MPRA Paper, University Library of Munich, Germany, number 90566, Dec.
• Stefania D'Amico & N. Aaron Pancost, 2018, "Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-21, Dec, DOI: 10.21033/wp-2018-21.
• Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018, "The Alpha-Heston Stochastic Volatility Model," Papers, arXiv.org, number 1812.01914, Dec.
• Tadeusz Sawik, 2018, "Selection of a dynamic supply portfolio under delay and disruption risks," 2018 Papers, Job Market Papers, number psa1077, Dec.
• Nicolas Legrand, 2019, "The Empirical Merit of Structural Explanations of Commodity Price Volatility: Review and Perspectives," Post-Print, HAL, number hal-01924388, DOI: 10.1111/joes.12291.
• Peter C.B. Phillips & Shuping Shi, 2018, "Real Time Monitoring of Asset Markets: Bubbles and Crises," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2152, Nov.