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Report NEP-RMG-2019-03-04
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:
- Sebastian M. Krause & Hrvoje v{S}tefanv{c}i'c & Vinko Zlati'c & Guido Caldarelli, 2019, "Controlling systemic risk - network structures that minimize it and node properties to calculate it," Papers, arXiv.org, number 1902.08483, Feb.
- John Armstrong & Damiano Brigo, 2019, "The ineffectiveness of coherent risk measures," Papers, arXiv.org, number 1902.10015, Feb, revised Oct 2020.
- Mitchener, Kris & Das, Sanjiv & Vossmeyer, Angela, 2018, "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13416, Dec.
- E Philip Davis & Dilruba Karim & Dennison Noel, 2019, "Bank Leverage Ratios, Risk and Competition - An Investigation Using Individual Bank Data," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 499, Feb.
- Hui Chen & Scott Joslin & Sophie X. Ni, 2019, "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 25573, Feb.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019, "Fair Estimation of Capital Risk Allocation," Papers, arXiv.org, number 1902.10044, Feb, revised Nov 2019.
- Tim Xiao, 2019, "Incremental Risk Charge Methodology," Working Papers, HAL, number hal-02024148, Feb.
- Nizam, Ahmed Mehedi, 2019, "How much capital does a bank need: A few points regarding the Basel accord," MPRA Paper, University Library of Munich, Germany, number 92330, Feb.
- Tim Xiao, 2019, "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers, HAL, number hal-02024145, Feb.
- Tim Xiao, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers, HAL, number hal-02024147, Feb.
- Item repec:hal:wpaper:hal-02025833 is not listed on IDEAS anymore
- E Philip Davis & Dilruba Karim & Dennison Noel, 2019, "The Bank Capital-Competition-Risk Nexus - A Global Perspective," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 500, Feb.
- Luca Di Persio & Luca Prezioso & Kai Wallbaum, 2019, "Closed-End Formula for options linked to Target Volatility Strategies," Papers, arXiv.org, number 1902.08821, Feb.
- Item repec:hal:wpaper:hal-02025835 is not listed on IDEAS anymore
- Zviadadze, Irina, 2018, "Term Structure of Risk in Expected Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13414, Dec.
- Chiara Lattanzi & Manuele Leonelli, 2019, "A changepoint approach for the identification of financial extreme regimes," Papers, arXiv.org, number 1902.09205, Feb.
- Sangyeon Kim & Myungjoo Kang, 2019, "Financial series prediction using Attention LSTM," Papers, arXiv.org, number 1902.10877, Feb.
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Christoph Reisinger, 2019, "A numerical scheme for the quantile hedging problem," Papers, arXiv.org, number 1902.11228, Feb.
- J. L. Subias, 2019, "Quantum model for price forecasting in financial markets," Papers, arXiv.org, number 1902.10502, Jan.