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Report NEP-RMG-2019-03-11
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:
- Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019, "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers, University of Pretoria, Department of Economics, number 201915, Feb.
- Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number 28133, Jan.
- Xavier Milhaud & Christophe Dutang, 2018, "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print, HAL, number hal-01985256, Mar, DOI: 10.1007/s13385-018-0165-7.
- Item repec:imf:imfscr:19/42 is not listed on IDEAS anymore
- Asgharian, Hossein & Krygier, Dominika & Vilhelmsson, Anders, 2019, "Systemic Risk and Centrality Revisited: The Role of Interactions," Working Papers, Lund University, Department of Economics, number 2019:4, Mar.
- Item repec:imf:imfscr:19/51 is not listed on IDEAS anymore
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017, "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2017-07, Sep.
- Sariev, Eduard & Germano, Guido, 2018, "An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100211, Nov.
- Yu Feng, 2019, "Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions," Papers, arXiv.org, number 1903.00590, Mar.
- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019, "Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate," Papers, arXiv.org, number 1903.00369, Mar, revised Jul 2019.
- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019, "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers, University of Pretoria, Department of Economics, number 201918, Mar.
- Chloe Lacombe & Aitor Muguruza & Henry Stone, 2019, "Asymptotics for volatility derivatives in multi-factor rough volatility models," Papers, arXiv.org, number 1903.02833, Mar, revised Oct 2020.
- Abdulnasser Hatemi-J & Mohamed Ali Hajji & Youssef El-Khatib, 2019, "Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return," Papers, arXiv.org, number 1903.01082, Mar.
- Lööf, Hans & Stephan, Andreas, 2019, "The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 477, Mar.
- de Oliveira Souza, Thiago, 2019, "A critique of momentum anomalies," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 5/2019, Feb.
- Arthur Attema & Olivier L’haridon & Gijs van de Kuilen, 2019, "Measuring Multivariate Risk Preferences in the Health Domain," Post-Print, HAL, number halshs-01970236, Mar, DOI: 10.1016/j.jhealeco.2018.12.004.
- Bignon, Vincent & Avaro, Maylis, 2019, "At Your Service! Liquidity Provision and Risk Management in 19th Century France," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13556, Feb.