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. Stan Miles issued this report. It is usually issued weekly.

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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 1902.08483, arXiv.org.
• John Armstrong & Damiano Brigo, 2019. "The ineffectiveness of coherent risk measures," Papers 1902.10015, arXiv.org, 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 13416, C.E.P.R. Discussion Papers.
• 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 499, National Institute of Economic and Social Research.
• Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
• Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019. "Fair Estimation of Capital Risk Allocation," Papers 1902.10044, arXiv.org, revised Nov 2019.
• Tim Xiao, 2019. "Incremental Risk Charge Methodology," Working Papers hal-02024148, HAL.
• Nizam, Ahmed Mehedi, 2019. "How much capital does a bank need: A few points regarding the Basel accord," MPRA Paper 92330, University Library of Munich, Germany.
• Tim Xiao, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers hal-02024145, HAL.
• Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
• Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "European options in a non-linear incomplete market model with default," Working Papers hal-02025833, HAL.
• 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 500, National Institute of Economic and Social Research.
• Luca Di Persio & Luca Prezioso & Kai Wallbaum, 2019. "Closed-End Formula for options linked to Target Volatility Strategies," Papers 1902.08821, arXiv.org.
• Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "American options in a non-linear incomplete market model with default," Working Papers hal-02025835, HAL.
• Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
• Chiara Lattanzi & Manuele Leonelli, 2019. "A changepoint approach for the identification of financial extreme regimes," Papers 1902.09205, arXiv.org.
• Sangyeon Kim & Myungjoo Kang, 2019. "Financial series prediction using Attention LSTM," Papers 1902.10877, arXiv.org.
• Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Christoph Reisinger, 2019. "A numerical scheme for the quantile hedging problem," Papers 1902.11228, arXiv.org.
• J. L. Subias, 2019. "Quantum model for price forecasting in financial markets," Papers 1902.10502, arXiv.org.