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Report NEP-RMG-2019-02-11
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:
- Guglielmo D'Amico & Filippo Petroni & Philippe Regnault & Stefania Scocchera & Loriano Storchi, 2019, "A copula based Markov Reward approach to the credit spread in European Union," Papers, arXiv.org, number 1902.00691, Feb.
- Isabel Casas & Xiuping Mao & Helena Veiga, 2018, "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-10, Mar.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-08, Jan.
- Leopoldo Catania & Tommaso Proietti, 2019, "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper, Tor Vergata University, CEIS, number 450, Feb, revised 06 Feb 2019.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Risk Premia Embedded in Index Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-07, Jan.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-02, Jan.
- Asaf Cohen & Virginia R. Young, 2019, "Rate of Convergence of the Probability of Ruin in the Cram\'er-Lundberg Model to its Diffusion Approximation," Papers, arXiv.org, number 1902.00706, Feb, revised Jun 2020.
- Alexis Louaas & Pierre Picard, 2019, "Optimal nuclear liability insurance," Working Papers, HAL, number hal-01996648, Jan.
- Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019, "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 125, DOI: 10.5445/IR/1000092476.
- Bormann, Carsten & Schienle, Melanie, 2019, "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 122, DOI: 10.5445/IR/1000092468.
- Yong Liu & Alan P. Ker, , "Is There Too Much History in Historical Yield Data," Working Papers, University of Guelph, Institute for the Advanced Study of Food and Agricultural Policy, number 283559, DOI: 10.22004/ag.econ.283559.
- Revathi Anil Kumar & Mark Chamness, 2018, "Stochastic Estimated Risk for Storage Capacity," Papers, arXiv.org, number 1901.10552, Dec.
- Jose J. Canals-Cerda, 2019, "From Incurred Loss to Current Expected Credit Loss (CECL): Forensic Analysis of the Allowance for Loan Losses in nconditionally Cancelable Credit Card Portfolios," Working Papers, Federal Reserve Bank of Philadelphia, number 19-8, Jan, DOI: 10.21799/frbp.wp.2019.08.
- Item repec:hal:wpaper:hal-01983433 is not listed on IDEAS anymore
- Irina Georgescu & Jani Kinnunen, 2019, "How the investor's risk preferences influence the optimal allocation in a credibilistic portfolio problem," Papers, arXiv.org, number 1901.08986, Jan.
- Davradakis, Emmanouil & Santos, Ricardo, 2019, "Blockchain, FinTechs and their relevance for international financial institutions," EIB Working Papers, European Investment Bank (EIB), number 2019/01, DOI: 10.2867/11329.