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Report NEP-RMG-2019-01-14
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:
- G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018, "An optimization approach to adaptive multi-dimensional capital management," Papers, arXiv.org, number 1812.08435, Dec.
- Anat R. Admati & Martin F. Hellwig, 2018, "Bank Leverage, Welfare, and Regulation," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2018_13, Nov.
- Laurence Carassus & Jan Obloj & Johannes Wiesel, 2018, "The robust superreplication problem: a dynamic approach," Papers, arXiv.org, number 1812.11201, Dec, revised Feb 2019.
- Herbetsson, Alexander, 2019, "CDS index options in Markov chain models," Working Papers in Economics, University of Gothenburg, Department of Economics, number 748, Jan.
- 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, HAL, number halshs-01935846.
- Item repec:hal:wpaper:halshs-01943862 is not listed on IDEAS anymore
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018, "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-46.
- Elias Cavalcante-Filho & Flavio Abdenur, Rodrigo De Losso, 2018, "Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2018_23, Dec.
- Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018, "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper, University Library of Munich, Germany, number 91136, May.
- Ludovic Tangpi, 2018, "Efficient hedging under ambiguity in continuous time," Papers, arXiv.org, number 1812.10876, Dec, revised Mar 2019.
- Ana Sasi-Brodesky, 2017, "Recovery rates in the Israeli corporate bond market 2008-2015," Bank of Israel Working Papers, Bank of Israel, number 2017.17, Jul.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers, Federal Reserve Bank of Cleveland, number 17-15R, Sep, DOI: 10.26509/frbc-wp-201715r.
- Item repec:rim:rimwps:19-01 is not listed on IDEAS anymore
- Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018, "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers, National Bureau of Economic Research, Inc, number 25361, Dec.
- Han Bleichrodt & Christophe Courbage & Béatrice Rey, 2018, "The Value of a Statistical Life Under Changes in Ambiguity," Working Papers, HAL, number halshs-01943887.
- Hossein Nadeb & Hamzeh Torabi & Ali Dolati, 2018, "Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios," Papers, arXiv.org, number 1812.08343, Dec.
- Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019, "Optimal execution with dynamic risk adjustment," Papers, arXiv.org, number 1901.00617, Jan, revised Jul 2019.
- Shaw, Charles, 2018, "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper, University Library of Munich, Germany, number 90437, Nov.