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Report NEP-RMG-2019-02-25
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:
- Nicole Bauerle & Tomer Shushi, 2019, "Risk Management with Tail Quasi-Linear Means," Papers, arXiv.org, number 1902.06941, Feb, revised Jan 2020.
- Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019, "The anatomy of the euro area interest rate swap market," Working Paper Series, European Central Bank, number 2242, Feb.
- Obradovic, Lazar, 2019, "Locally Constant Model Uncertainty Risk Measure," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 609, Feb.
- Lang, Jan Hannes & Izzo, Cosimo & Fahr, Stephan & Ruzicka, Josef, 2019, "Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises," Occasional Paper Series, European Central Bank, number 219, Feb.
- Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2018, "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Post-Print, HAL, number hal-01561987, Jun.
- Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019, "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13435, Jan.
- Hanene Ben Salah & Mohamed Chaouch & Ali Gannoun & Christian de Peretti & Abdelwahed Trabelsi, 2018, "Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier," Post-Print, HAL, number hal-01300673, Mar, DOI: 10.1007/s10479-016-2235-z.
- Memmel, Christoph, 2019, "What drives the short-term fluctuations of banks' exposure to interest rate risk?," Discussion Papers, Deutsche Bundesbank, number 05/2019.
- Jean-Charles Richard & Thierry Roncalli, 2019, "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers, arXiv.org, number 1902.05710, Feb.
- Roberto Baviera & Giulia Bianchi, 2019, "Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach," Papers, arXiv.org, number 1902.06623, Feb, revised Dec 2019.
- Josef Schroth, 2019, "Macroprudential Policy with Capital Buffers," Staff Working Papers, Bank of Canada, number 19-8, Feb, DOI: 10.34989/swp-2019-8.
- Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2017, "Dynamics of multivariate default system in random environment," Post-Print, HAL, number hal-01205753, Mar.
- Peleg Lazar, Sharon & Raviv, Alon, 2019, "The Risk Spiral: The Effects of Bank Capital and Diversification on Risk Taking," MPRA Paper, University Library of Munich, Germany, number 92134, Feb.
- Item repec:hal:wpaper:hal-02010162 is not listed on IDEAS anymore
- Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh, 2019, "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-48.
- Sentana, Enrique & Fiorentini, Gabriele, 2019, "New testing approaches for mean-variance predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13426, Jan.
- Ester Chen & Ilanit Gavious & Nadav Steinberg, 2017, "Dividends from Unrealized Earnings and Default Risk," Bank of Israel Working Papers, Bank of Israel, number 2017.05, Jun.
- Hadrien de March & Pierre Henry-Labordere, 2019, "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers, HAL, number hal-02011533, Feb.