Printed from https://ideas.repec.org/n/nep-rmg/2019-02-18.html
Report NEP-RMG-2019-02-18
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:
- Tobias Fissler & Johanna F. Ziegel, 2019, "Evaluating Range Value at Risk Forecasts," Papers, arXiv.org, number 1902.04489, Feb, revised Nov 2020.
- Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019, "Risk management with machine-learning-based algorithms," Papers, arXiv.org, number 1902.05287, Feb, revised Aug 2020.
- Antonio Falato & Diana A. Iercosan & Filip Zikes, 2019, "Banks as Regulated Traders," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-005r1, Feb, revised 04 Aug 2021, DOI: 10.17016/FEDS.2019.005r1.
- Item repec:dnb:dnbwpp:624 is not listed on IDEAS anymore
- Marco Bottone & Mauro Bernardi & Lea Petrella, 2019, "Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution," Papers, arXiv.org, number 1902.03982, Feb, revised Sep 2019.
- Oliver Kley & Claudia Kluppelberg & Sandra Paterlini, 2019, "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," Papers, arXiv.org, number 1902.03041, Feb.
- David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2019, "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Post-Print, HAL, number hal-01710394, DOI: 10.1051/proc/201965182.
- Masato Hisakado & Shintaro Mori, 2019, "Phase transition in the Bayesian estimation of the default portfolio," Papers, arXiv.org, number 1902.03797, Feb, revised Nov 2019.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019, "Integer-valued stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 91962, Feb, revised 04 Feb 2019.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019, "Static and semi-static hedging as contrarian or conformist bets," Papers, arXiv.org, number 1902.02854, Feb.
- Fabrizio Ferriani & Wanda Cornacchia & Paolo Farroni & Eliana Ferrara & Francesco Guarino & Francesco Pisanti, 2019, "An early warning system for less significant Italian banks," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 480, Jan.
- Jamal Bouoiyour & Refk Selmi & Mark E Wohar, 2019, "Bitcoin: competitor or complement to gold?," Post-Print, HAL, number hal-01994187, Feb.
- Mohammad Ali Elminejad, 2018, "Contagious Defaults in Inter-bank Networks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/39, Dec, revised Dec 2018.
- Cormac O'Dea & David Sturrock, 2019, "Survival pessimism and the demand for annuities," IFS Working Papers, Institute for Fiscal Studies, number W19/02, Jan.
- Kanamura, Takashi, 2019, "Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power," MPRA Paper, University Library of Munich, Germany, number 92009, Jan.
- Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018, "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Post-Print, HAL, number hal-01571937.
- Wataru Hirata & Mayumi Ojima, 2019, "Competition and Bank Systemic Risk: New Evidence from Japan's Regional Banking," Bank of Japan Working Paper Series, Bank of Japan, number 19-E-1, Jan.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019, "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-09, Feb.
- John Leventides & Kalliopi Loukaki & Vassilios G. Papavassiliou, 2019, "Simulating financial contagion dynamics in random interbank networks," Open Access publications, Research Repository, University College Dublin, number 10197/9601, Feb.
- Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019, "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS59, Feb.