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Report NEP-RMG-2019-02-04
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:
- Michael Heinrich & Thomas Schreck, 2018, "The Interest Rate Sensitivity of Institutional Real Estate Investments," LARES, Latin American Real Estate Society (LARES), number lares_2018_paper_112-hein, Sep.
- Michael Heinrich & Thomas Schreck, 2017, "Effects of Solvency II on Portfolio Efficiency, The Case of Real Estate and Infrastructure Investments," LARES, Latin American Real Estate Society (LARES), number lares_2017_paper_8, Sep.
- Sabry, Saajid & Masih, Mansur, 2018, "Is gold a hedge against equity risk? Malaysian experience based on NARDL approach," MPRA Paper, University Library of Munich, Germany, number 91584, Dec.
- Ermanno Catullo & Federico Giri & Mauro Gallegati, 2019, "Macro and Micro Prudential Policies: Sweet and Lowdown in a Credit Network Agent Based Model," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 434, Jan.
- Thomas Dohmen & Simone Quercia & Jana Willrodt, 2018, "Willingness to take risk: The role of risk conception and optimism," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2018_023, Jun.
- Armin Falk & Thomas Dohmen & David Huffman & Uwe Sunde, 2018, "Global Evidence on Economic Preferences," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2018_006, Mar.
- Devi, Sandhya, 2018, "Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure," MPRA Paper, University Library of Munich, Germany, number 91614, Jan.
- Linton, O. & Wu, J., 2018, "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1879, Sep.
- Olessia Caillé & Daria Onori, 2018, "Conditional Risk-Based Portfolio," Working Papers, HAL, number hal-01973115.
- Lukas Pfeifer & Martin Hodula & Libor Holub & Zdenek Pikhart, 2018, "The Leverage Ratio and Its Impact on Capital Regulation," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/15, Dec.
- Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2019, "Superhedging prices of European and American options in a non-linear incomplete market with default," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 607, Jan.
- Marco Bardoscia & Daniele d'Arienzo & Matteo Marsili & Valerio Volpati, 2019, "Lost in Diversification," Papers, arXiv.org, number 1901.09795, Jan.
- Barney Hartman-Glaser & Benjamin M. Hébert, 2019, "The Insurance is the Lemon: Failing to Index Contracts," NBER Working Papers, National Bureau of Economic Research, Inc, number 25450, Jan.
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglbock & Manu Eder, 2019, "Adapted Wasserstein Distances and Stability in Mathematical Finance," Papers, arXiv.org, number 1901.07450, Jan, revised May 2020.
- Faia, Ester & Laffitte, Sebastien & Ottaviano, Gianmarco I. P., 2018, "Foreign expansion, competition and bank risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 91689, Aug.
- James Banks & Elena Bassoli & Irene Mammi, 2019, "Changing Risk Preferences at Older Ages," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2019:01.
- Tetsuya Adachi & Takumi Sueshige & Toshinao Yoshiba, 2019, "Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 19-E-01, Jan.
- Eckhard Platen & Renata Rendek, 2019, "Dynamics of a Well-Diversified Equity Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 398, Jan.
- Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019, "Deep Learning Volatility," Papers, arXiv.org, number 1901.09647, Jan, revised Aug 2019.
- Mohitosh Kejriwal & Xuewen Yu, 2018, "Bootstrap Procedures for Detecting Multiple Persistance4 Shifts in a heteroskedastic Time Series," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1308, Dec.
- M. Rouhani, Omid, 2019, "Transportation Project Evaluation Methods/Approaches," MPRA Paper, University Library of Munich, Germany, number 91451, Jan.